Econophysics: Correlation Analysis of Price, Time, and Volume in TAIEX

• Main Authors: LAI,YI-ZHEN, 賴怡臻
• Other Authors: Lih,Jiann-Shing
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/21073259445093160098

碩士 === 國立高雄師範大學 === 物理學系 === 104 === In this research, we study the relationship of the price, time, and volumes in uptrend and downtrend by using the data from TAIEX Futures. We found sometimes the price fluctuation will have local maximum or local minimum, and these extreme values will be used by the investor to predict the future trend. Therefore we measure the statistic of extreme values between price deference, time deference and the sum of the total volume between two extreme values. We also use the concept of Brownian motion to analyze the relationship between the deference of price, time, and accumulation volumes.