VIỆN HÀN LÂM KHOA HỌC VÀ CÔNG NGHỆ VIỆT NAM VIỆN VẬT LÝ CHU THUỲ ANH XÂY DỰNG MỘT SỐ MƠ HÌNH VẬT LÝ ÁP DỤNG CHO THỊ TRƯỜNG TÀI CHÍNH VIỆT NAM VÀ THẾ GIỚI LUẬN ÁN TIẾN SĨ VẬT LÝ HÀ NỘI - 2015 VIỆN HÀN LÂM KHOA HỌC VÀ CÔNG NGHỆ VIỆT NAM VIỆN VẬT LÝ CHU THUỲ ANH XÂY DỰNG MỘT SỐ MƠ HÌNH VẬT LÝ ÁP DỤNG CHO THỊ TRƯỜNG TÀI CHÍNH VIỆT NAM VÀ THẾ GIỚI Chuyên ngành: Vật lý lý thuyết Vật lý toán Mã số chuyên ngành: 62 44 01 03 Người hướng dẫn khoa học: GS TSKH Nguyễn Ái Việt HÀ NỘI - 2015 LUäN ÁN TIòN Sû VäT Lfi XÂY D‹NG MÀT S» MƠ HÌNH VäT Lfi ÁP D÷NG CHO TH¿ TR◊ÕNG TÀI CHÍNH VIõT NAM VÀ THị GIŒI CHU THU› ANH Chu Thu˝ Anh Viªn V™t l˛ Viªn Hàn lâm Khoa hÂc Cơng nghª Viªt Nam (VAST) 10 o Tòn, Ba ỡnh, H Nẻi, Viêt Nam LÕI CAM OAN Tôi xin cam oan ây công trình nghiên c˘u cıa riêng tơi Các sË liªu, k∏t qu£ mĨi mà tơi cơng bË lu™n án trung thác v cha ềc cụng bậ bòt k˝ cơng trình khác Hà NỴi, ngày tháng n´m 2015 Tác gi£ Chu Thu˝ Anh LÌi c£m Ïn Tơi xin g˚i lÌi c£m Ïn tĨi PGS TS Lê HÁng Khiêm, Viªn tr˜ng Viªn V™t l˛ - Viªn Hàn lâm Khoa hÂc Cơng nghª Viªt Nam ó tĐo iu kiên tụi theo hc cng nh hồn thành tËt lu™n v´n cıa Trong q trình hc v lm viêc, tụi ó nhn ềc sá hểng dđn tn tỡnh cng nh giỳp ễ ròt nhiu ca thảy hểng dđn, GS TSKH Nguyn i Viêt Tụi xin gi tểi thảy lèi cÊm ẽn sõu sc nhòt vĨi tßt c£ tình c£m u qu˛ cÙng nh˜ lịng kính trÂng cıa Tơi cÙng xin c£m Ïn thành viên nhóm V™t l˛ l˛ thuy∏t V™t l˛ tốn v∑ nh˙ng giúp Ơ Ëi vĨi tơi q trình hÂc t™p Tơi xin c£m Ïn Viªn V™t l˛ ã tào i∑u kiªn cho tơi hÂc t™p, c£m Ïn Phịng Sau §i hÂc ã hÈ trỊ tơi hồn thành thı tˆc b£o vª lu™n án HÏn h∏t, tơi g˚i lÌi c£m Ïn chân thành bi∏t Ïn tĨi nh˙ng ng˜Ìi thân u gia ình ã ln Ỵng viên, hÈ trỊ, giúp Ơ tơi mÂi ph˜Ïng diªn ∫ hồn thành q trình hÂc t™p v˜Ịt qua mÂi khó kh´n Mˆc lˆc LÌi c£m Ïn i Mˆc lˆc Danh mˆc hình v≥ M ¶u L˛ chÂn ∑ tài Mˆc tiêu nghiên c˘u Nhiªm vˆ nghiên c˘u Ph˜Ïng pháp nghiên c˘u CÏ s l˛ thuy∏t Công cˆ BË cˆc nỴi dung lu™n án CÁCH TIòP CäN Cà H≈C TH»NG KÊ VÀ MÀT S» KHÁI NIõM ÁP D÷NG CHO TH¿ TR◊ÕNG TÀI CHÍNH 11 1.1 Th‡ tr˜Ìng tài 12 1.2 Nhiªt ẻng hc c in v l thuyt cõn băng tng quát kinh t∏ 13 1.2.1 Giá hàm tho£ dˆng 13 1.2.1.1 Chu©n tuy∏n tính 14 1.2.1.2 Trao Íi kinh t∏ 14 Nhiêt ẻng hc s 15 1.2.2 1.2.2.1 Các hàm trĐng thỏi v sá khụng ph thuẻc èng i nhiêt ẻng hc i 15 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Mˆc lˆc 1.2.3 1.2.4 1.2.5 1.2.2.2 Các d‡ch chuy∫n thu™n ngh‡ch không thu™n ngh‡ch 15 1.2.2.3 Cỏc th nhiêt ẻng hc 16 Tớnh song song gia nhiêt ẻng hÂc kinh t∏ bi∫u diπn hª thËng 17 1.2.3.1 Ba nh lut nhiêt ẻng hc v l thuyt tiên ớch 17 1.2.3.2 TrĐng thái mơ t£ b£o tồn 18 1.2.3.3 Th ậi ngđu thậng kinh t∏ 18 Cỏc th nhiêt ẻng hc v sá ẻc lp èng i kinh t tng quỏt 19 1.2.4.1 Tớnh co cm mĐnh ca kinh t chuân tuy∏n tính 19 1.2.4.2 Các d‡ch chuy∫n kinh t∏ tÍng quát 19 1.2.4.3 Các i∑u kiên giểi hĐn giỏ v phộp o còu trỳc thËng 20 1.2.4.4 Th˜Ïng m§i h˜Ĩng tĨi t™p hỊp Pareto kinh t∏ óng 21 1.2.4.5 Các d‡ch chuy∫n kinh t∏ m t¯ng ph¶n 22 1.2.4.6 Các d‡ch chuy∫n vÓi vÓi cỏc iu kiên rng buẻc Đo hm 23 1.2.4.7 Tớnh Ëi ng®u d‡ch chuy∫n 24 Cõn băng thậng kờ kinh t 24 1.2.5.1 Hình th˘c lun toỏn hc ca cõn băng thậng kờ 24 1.2.5.2 Th‡ tr˜Ìng 25 1.2.5.3 Các vßn ∑ diπn giÊi cõn băng thậng kờ 26 VAI TRÒ C’A THãNG GIÁNG VÀ CÁC HÀM PHÂN B» TRONG VäT Lfi ÁP D÷NG X€ Lfi D⁄ LIõU C’A TH¿ TR◊ÕNG TÀI CHÍNH 30 2.1 M®u d˙ liªu tham sË ˜Ịc s˚ dˆng mơ hình 31 2.2 Th´ng giáng 34 2.3 Lãi phân bË lãi th‡ tr˜Ìng 42 TH◊ŒC O VäT Lfi CHO TH¿ TR◊ÕNG TÀI CHÍNH 3.1 49 Chuy∫n pha kinh t∏ 50 3.1.1 Hiªn t˜Ịng chuy∫n pha kinh t∏ ¶u tiên ˜Ịc ghi nh™n 50 3.1.2 Th‡ tr˜Ìng nh˜ mỴt tá xỳc tỏc 52 3.1.3 Chuy∫n pha th‡ tr˜Ìng ch˘ng khoán 55 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn ii C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Mˆc lˆc 3.2 Cơng cˆ o l˜Ìng 60 3.2.1 Cơng cˆ o l˜Ìng hª kinh t∏ 60 3.2.2 Nhiêt ẻ th trèng 61 MÀT S» MƠ HÌNH VäT Lfi ŸNG D÷NG CHO TH¿ TR◊ÕNG TÀI CHÍNH 66 4.1 Cách ti∏p c™n V™t l˛ kinh t∏ qua Entropy 67 4.2 Ph˜Ïng pháp mơ hình chéo hóa Bogoliubov m rỴng 74 4.3 Mơ hình Ỵng hÂc cho d‡ch chuy∫n phân bË lãi th‡ tr˜Ìng ch˘ng khốn 82 4.4 Mơ hình d‡ch chuy∫n phân bË lãi th‡ tr˜Ìng d˜Ĩi tỏc ẻng ca nhiu nn 88 Ti liêu tham kh£o 103 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn iii C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Danh sách hình v≥ 2.2.1 Các chu k˝ t´ng tr˜ng dĐng hm sậ et ca sậ giỏ ềc lòy trung bình theo cÍ phi∏u cơng nghiªp chı chËt th‡ tr˜Ìng tài Mˇ [79] kho£ng 60 n´m tr l§i ây 35 2.2.2 (a) Chø sË S&P 500 cho giai o§n 13 n´m t¯ tháng Giêng n´m 1984 ∏n tháng M˜Ìi hai n´m 1996, ˜Ịc ghi theo chu k˝ mỴt phút; (b) Ỵ o tính bßt Ín ‡nh kho£ng thÌi gian 30 phút 36 2.2.3 So sánh viªc khĨp d˙ liªu theo phân bË Gaussian v lognormai (phự hềp nhòt) ậi vểi ẻ o tính bßt Ín ‡nh cıa th‡ tr˜Ìng kho£ng thÌi gian 300 phút 37 2.2.4 PhÍ th´ng giáng cıa t sË trao Íi DM/U S$ nh˜ mẻt hm sậ ca tản sậ ậ ẩ theo ẽn v s1 , nhiu ềc mụ tÊ ph˜Ïng trình vi phân hÈn Ỵn (2.2.1) có th∫ ánh giỏ mẻt cỏch gản ỳng nh nhiu trng 38 2.2.5 Hành vi cıa hàm logarithm cıa th‡ giá theo ph˜Ïng tình vi phân hÈn Ỵn (2.2.5) 39 2.3.1 Dao Ỵng giá HNX kho£ng 10/2006-2/2011 44 2.3.2 Dao Ỵng giá DJIA kho£ng 2006-2011 44 2.3.3 Phân bË Boltzmann cıa t st lỊi nhu™n log Ëi vĨi chø sË S&P 500 NASDAQ 100 ˜Ịc ghi nh™n theo phút 45 2.3.4 Nhiêt ẻ th trèng ca chø sË S&P 500 NASDAQ 100 t¯ 1990 n 2006 Cuẻc khng hoÊng nm 200 xÊy tĐi nhiêt ẻ Đi TS&P500 Ơ 0.075 v TNASDAQ100 Ơ 0.15 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 46 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an 4.4 Mơ hình d‡ch chuy∫n phân bË lãi th‡ tr˜Ìng d˜Ĩi tác Ỵng cıa nhiπu n∑n Lu™n án ã s˚ dˆng mơ t£ xác st Ëi vĨi hª ph˘c hỊp, ó Ëi t˜Ịng nghiên c˘u hàm phân bË vĨi d˙ liªu t¯ th‡ tr˜Ìng ch˘ng khốn Viªt Nam Mˇ Các hàm phõn bậ th hiên tớnh ậi ngđu, t ú cỏc nghiên c˘u ã khai thác thơng tin d˜Ĩi phân bË Vai trị cıa chân khơng nh˙ng d‡ch chuy∫n cıa phân bË t˜Ïng ˘ng giúp nhìn nh™n tËt hÏn v∑ va trị chı §o cıa chân khơng hnh vi ca phc hềp Nẻi dung ềc trỡnh bày lu™n án k∏t qu£ nghiên c˘u q trình v™n Ỵng cıa th‡ tr˜Ìng ch˘ng khốn nói chung chø sË DJIA cÙng nh˜ HNX HOSE nói riêng Qua ó chúng tơi §t ˜Ịc nh˙ng k∏t qu£ sau ây: Xây d¸ng mơ hình chuy∫n pha th‡ tr˜Ìng ch˘ng khốn, cˆ th∫ Ëi vĨi sàn ch˘ng khốn Hà NỴi HÁ Chí Minh ã ềc xuòt[29] Cú th d dng nhn thòy sá chuy∫n pha t¯ giai o§n khıng ho£ng tài 2008 sang giai oĐn tẽng ậi hi phc 2010, tẽng tá chuyn pha st t Yu tậ tá xỳc tỏc thỳc ây sá chuyn pha cng ềc xem xột Xây d¸ng mơ hình cho d‡ch chuy∫n phân bậ lói hiêu dng Mụ hỡnh ẻng hc [28] s dˆng hàm 4.3.13 diπn t£ s¸ bi∏n Íi theo thÌi gian ca phõn bậ xỏc suòt lói hiêu dng, miờu t£ trình chuy∫n t¯ phân bË Boltzmann sang phân bË Gauss cıa lãi hiªu dˆng, có th∫ ˜Ịc s˚ dˆng ∫ nghiên c˘u q trình bi∏n Ỵng th trèng thác, vểi sá xuòt hiên ca tham sË mĨi · ∞c tr˜ng cho thÌi gian hÁi phˆc cıa th‡ tr˜Ìng Ph˜Ïng pháp chéo hố Bogoliubov cÙng ˜Ịc s˚ dˆng ∫ miêu t£ s¸ d‡ch chuy∫n phân bË Mơ hình d‡ch chuy∫n phân bË d˜Ĩi tác dˆng cıa nhiπu n∑n [4] ã ˜Ịc xây d¸ng D˜Ĩi tác dˆng cıa nhiπu, hàm phân bË lãi hiªu dˆng có tính ∏n y∏u tË nhiπu n∑n ˜Ịc nghiên c˘u c£ hai tr˜Ìng hỊp phân bË có d§ng Gauss4.4.1 dĐng Boltzmann4.4.2 Tng hềp tòt cÊ cỏc nhiu khÊ dổ s≥ ˜Ịc nhiπu tÍng qt có phân bË nhiπu Gauss Cú th núi dĐng phõn bậ sau sá tỏc Ỵng cıa nhiπu khơng phˆ thc vào d§ng phân bË ban ảu m ph thuẻc vo dĐng ca nhiu n∑n Dù phân bË ban ¶u Gauss hay Boltzmann sau tác Ỵng cıa nhiπu, phân bË ci ∑u có d§ng Gauss phân bË nhiπu n∑n Gauss ∑ xt cơng cˆ o Ïn gi£n ∫ xác nh trĐng thỏi th trèng Mẻt khỏi niêm mểi ềc ˜a vào ∫ miêu t£ hª kinh t∏, chø s˚ dng trĐng thỏi ban ảu v trĐng thỏi cuậi m khơng c¶n thi∏t bi∏t rõ q trình bi∏n Íi trung gian ca hê[5] Sá dch chuyn phõn bậ lói hiªu dˆng dù có tính ∏n y∏u tË thÌi gian hay khơng phˆ thc vào thÌi gian mà chø phˆ thc vào bi∏n thiên nhiπu n∑n, ∑u mỴt q trình d‡ch chuy∫n thơng tin ch˘a hª kinh t∏ Ph¶n Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 97 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an 4.4 Mô hình d‡ch chuy∫n phân bË lãi th‡ tr˜Ìng d˜Ĩi tác Îng cıa nhiπu n∑n phı cıa hai phân bË hàm ch˘a rßt nhi∑u thơng tin kh£ n´ng x£y b˜Óc ti∏p theo, phase ti∏p theo cıa th‡ tr˜Ìng bi ó nh˙ng thơng tin l˜u gi cÊ trĐng thỏi ban ảu lđn trĐng thỏi ci cıa th‡ tr˜Ìng Nó có th∫ ˜Ịc s˚ dˆng nh mẻt cụng c o trĐng thỏi ca th trèng, xỏc nh tỡnh trĐng ôkhoƠ" hay ôyu", ú mẻt khái niªm mĨi ˜Ịc ˜a vào Th˜Ĩc o nhiªt Ỵ th‡ tr˜Ìng I, chia theo thang 100 ∫ tiªn so sánh s˚ dˆng nh˜ Ëi vĨi thang nhiªt Ỵ thơng dˆng H˜Ĩng nghiên c˘u ti∏p theo - BÍ sung hồn chønh nghiên c˘u chuy∫n phân bË lãi hiªu dˆng d˜Ĩi góc Ỵ entropy -TËi ˜u mơ hình ã có - Xây d¸ng tham sË phù hỊp ∫ t´ng tính xác vĨi th‡ tr˜Ìng Viªt Nam - Ti∏p tˆc xây d¸ng tËi ˜u th˜Ĩc o ∫ t´ng tính ˘ng dˆng Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 98 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Các công bË khoa hÂc Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 99 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Các cơng bË ˜Ịc s˚ dˆng lu™n v´n Chu Thuy Anh and Do Hong Lien and Nguyen Ai Viet, Simple Model for Market Returns Distribution, Communications in Physics, 23 (2) (2013) Chu Thuy Anh, Do Hong Lien and Nguyen Tri Lan and Nguyen Ai Viet, Study of Hanoi and Hochiminh Stock Exchange by Econophysics Methods, Communications in Physics, 24, 3S2 (2014) Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, Boltzmann–Gaussian Transition under Specific Noise Effect, Journal of Physics: Conference series, 537 (2014) Chu Thuy Anh, Nguyen Tri Lan, Nguyen Ai Viet, Simple grading model for financial markets, Journal of Physics: Conference series 627(1):012025 (2015) Chu Thuy Anh, Nguyen Tri Lan, Nguyen Ai Viet, General auto catalytic theory and simple model of financial markets, Journal of Physics: Conference series 627(1):012024 (2015) Chu Thuy Anh, Nguyπn NgÂc Anh, Nguyen Tri Lan, Nguyen Ai Viet, Generalized Bogoliubov polariton model with distribution functions for complex systems Application to stock exchange market, submitted Danh mˆc cơng trình ã cơng bË Các th§p chí danh mˆc ISI T A Chu, D T Nga, T T Thao, V Thanh Ngo, and N A Viet, Trapping Cold Atoms by a Carbon Nanotube, Modern Physics Letters B, 25, 979-985 (2011) Anh D Phan, Do T Nga, The-Long Phan, Le T M Thanh, Chu T Anh, Sophie Bernard and N A Viet, Theoretical model for optical properties of porphyrin, Phys Rev E, 90, 062707 (2014) Các t§p chí danh mˆc Scopus Chu, Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, Boltzmann–Gaussian Transition Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 100 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an under Specific Noise Effect, Journal of Physics: Conference series, 537 (2014) T T Thao, S Bernard, V Derrien, C T Anh, N T Lan and N A Viet, The twolevel model on absorption spectra of oxyhemo - and neuroglobin, Journal of Physics: Conference Series, 537 (2014) Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, Simple grading model for financial markets, Journal of Physics: Conference series 627(1):012025 (2015) Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, General auto catalytic theory and simple model of financial markets, Journal of Physics: Conference series 627(1):012024 (2015) Chu Thuy Anh, Nguyπn NgÂc Anh, Nguyen Tri Lan and Nguyen Ai Viet, Generalized Bogoliubov polariton model with distribution functions for complex systems Application to stock exchange market, Journal of Physics: Conference series, submitted T§p chí quËc t∏ khác: Vo Thi Hoa, Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, Magnetobiexciton in three layers graphene and its effects on graphene optical properties, IEEE Proceedings of Photonics Global Conference (PGC), (2012) Do Thi Nga, Chu Thuy Anh, Nguyen Tri Lan and Nguyen Ai Viet, Optically trapping cold atoms by using a silicon nanopilar, IEEE Proceedings of Photonics Global Conference (PGC), (2012) Do Thi Nga, Nguyen Thi Phuong Lan, Chu Thuy Anh and Nguyen Ai Viet, Optical trapping of neutral cold atoms using a nanotube, Advances in Optics, Photonics, Spectroscopy & Applications VII, 821-825 (2013) Các t§p chí n˜Ĩc Vi Thi Ha My, Vu Thuy Huong, Chu Thuy Anh, To Thi Thao, Ngo Van Thanh and Nguyen Ai Viet, On the Information Problem of DNA in the Denaturation Process, Communications in Physics, 21 (3), 2011 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 101 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Chu Thuy Anh, Do Hong Lien and Nguyen, Ai Viet, Simple Model for Market Returns Distribution, Communications in Physics, 23 (2) (2013) Chu Thuy Anh, Do Hong Lien, Nguyen Tri Lan and Nguyen Ai Viet, Study of Hanoi and Hochiminh Stock Exchange by Econophysics Methods, Communications in Physics, 24, 3S2 (2014) P T K Hang, T A Chu, P V Dien, N T Lan and N A Viet, Thermodynamic equivalent between non-interacting Bose and Fermi gas in metallic carbon nanotubes, Communications in Physics 24, 3S2 (2014) Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 102 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o [1] Nguyen Quang A V™t l˛ hÂc kinh t v khng hoÊng hiên thèi Lao ẻng cuậi tu¶n, (23), 2009 [2] P W Anderson More is different Science, 177(4047):393–396, 1972 12 [3] Philip W Anderson, Kenneth J Arrow, and David Pines The Economy as an Evolving Complex System Addison-Wesley, Redwood City, CA, 1988 [4] Chu Thuy Anh, Nguyen Tri Lan, and Nguyen Ai Viet Boltzmann-gaussian transition under specific noise effect Journal of Physics: Conference Series, 537, 2014 88, 91, 97 [5] Chu Thuy Anh, Nguyen Tri Lan, and Nguyen Ai Viet Simple grading model for financial markets Journal of Physics: Conference Series, 627(1), 06 2015 61, 97 [6] Kenneth J Arrow Essays in the Theory of Risk Bearing North-Holland, Amsterdam, 1974 [7] S Artstein, K M Ball, F Barthe, and A Naor Solution of shannon’s problem on the monotonicity of entropy J Amer Math Soc., 17:975 – 982, 2004 70 [8] Robert L Axtell Zipf distribution of firm sizes Science, 293:1818–1820, 2001 6, 31 [9] B E Baaquie A path integral approach to option pricing with stochastic volatility: Some exact results J de Physique I, 7:1733, 1997 35 [10] Louis Bachelier Théorie de la spéculation In Annales Scientifique de l’École Normale Supérieure III-17, pages 21–86 MIT Press, Cambridge, 1900 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 103 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o [11] Per Bak How nature works: The science of self-organized criticality In New York: Copernicus Press for Springer-Verlag 1996 [12] Per Bak, Kan Chen, José Scheinkman, and Michael Woodford Aggregate fluctuations from independent sectoral shocks: Self-organized criticality in a model of production and inventory dynamics Ricerche Economiche, 47:3–30, 1993 [13] M W Baxter and A J O Rennie Financial Calculus Cambridge University Press, Cambridge, 1996 39 [14] F Black and M Scholes The pricing of options and corporate liabilities J Pol Economy, 81:637, 1973 34 [15] Fischer Black and Myron Scholes The pricing of options and corporate liabilities Journal of Political Economy, 81:637–654, 1973 [16] Lisa Borland Statistical signatures in times of panic: Markets as a self-organizing system Quant Finance, 12(9):1367–1379, 2012 42, 55, 82 [17] G Botazzi and A Secchi A stochastic model of firm growth Physica A, 324:213– 219, 2003 [18] J.-P Bouchaud and R Cont A langevin approach to stock market fluctuations and crashes European Physical Journal B, 6:543–550, 1998 [19] J.-P Bouchaud and M Mézard Wealth condensation in a simple model of economy Physica A, 282:536–545, 2000 [20] J P Bouchaud and M Potters Theory of Financial Risks, From Statistical Physics to Risk Management Cambridge University Press, 2000 38, 45 [21] William A Brock and Steven N Durlauf Discrete choice with social interactions Review of Economic Studies, 68:235–260, 2001 [22] J Bryant A thermodynamic approach to economics Technical report, Butterworth and Co, 1982 36-50 34 [23] D Canning, L A N Amaral, Y Lee, M Meyer, and H E Stanley A power law for scaling the volatility of gdp growth rates with country size Economics Letters, 60: Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 104 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o 335–341, 1998 [24] P P Carr, H Geman, D Madan, and M Yor The fine structure of asset returns: an empirical investigation Working Paper, 2000 82 [25] Bikas K Chakrabarti Econphys-kolkata: A short story In Sudhakar Yarlagadda and Bikas K Charkrabarti, editors, Arnab Chatterjee, pages 225–228 Springer, Econophysics of Wealth Distributions Milan, 2005 [26] Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, and Frédéric Aberge Econophysics review: Ii agent-based models Quant Finance, 11(7):1013–1041, 2011 42, 82 [27] Arnab Chatterjee, Sudhakar Yarlagadda, and Bikas K Charkrabarti, editors Econophysics of Wealth Distributions Springer, Milan, 2005 [28] T A Chu, D H Lien, and N A Viet Simple model for market returns distribution Proc Natl Conf Theor Phys, (36):234–238, 2011 82, 84, 97 [29] T A Chu, D H Lien, N T Lan, and N A Viet Study of hanoi and hochiminh stock exchange by econophysics methods Communications in Physics, 24(3S2), 2014 31, 56, 97 [30] R Cont and J.P Bouchaud Herd behavior and aggregate fluctuations in financial markets Macroeconom Dyn., 4:170–196, 2000 31 [31] A Dragulescu and V M Yakovenko Statistical mechanics of money Eur Phys J B., 17:723–729, 2000 82 [32] A A Drˇagulescu and V M Yakovenko Exponential and power-law probability distributions of wealth and income in the united kingdom and the united states Physica A, 299:213–221, 2001 [33] Steven N Durlauf Statistical mechanics approaches to socioeconomic behavior In W Brian Arthur, Steven N Durlauf, and David A Lane, editors, The Economy as a Complex Evolving System II, pages 81–104 Addison-Wesley, Redwood City, CA, 1997 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 105 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Ti liêu tham khÊo ă [34] Albert Einstein Uber die von der molekularkinetischen theorie der wăarme geforderte bewegung von der ruhenden flăussigkeiten suspendierten teichen Annalen der Physik, 17:549–560, 1905 [35] Z Eisler and J Kertesz Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks Phys Rev E, 73:046109, 2006 31 [36] E F Fama Mandelbrot and the stable paretian distribution J Business, 36:420–429, 1963 67 [37] J Doyne Farmer and Shareen Joshi The price dynamics of common trading strategies Journal of Economic Behavior and Organization, 49:149–171, 2002 [38] X Gabaix, P Gopikrishnan, V Plerou, and H E Stanley A theory of power law distributions in financial market fluctuations Nature, 423:267–270, 2003 31 [39] Xavier Gabaix Zipf’s law for cities: An explanation Quarterly Journal of Economics, 114:739–767, 1999 [40] P M Garber Tulipmania J Political Econ, 97:535, 1989 50 [41] P M Garber Famous First Bubbles: The Fundamentals of Early Manias MIT Press, 2000 50 [42] A Goldgar Tulipmania: Money, Honor and Knowledge in the Dutch Golden Age University of Chicago Press, 2007 50, 51 [43] P Gopakrishnan, V Plerou, L A N Amaral, M Meyer, and H E Stanley Scaling of the distributions of fluctuations of financial market indices Physical Review E, 60: 5305–5316, 1999 5, 12, 31 [44] P Gopikrishnan, M Meyer, L A N Amaral, and H E Stanley Inverse cubic law for the probability distribution of stock price variation Eur Phys J B, 3:139, 1998 12 [45] J Hull Options, Futures and Other Derivatives Prentice-Hall Int., 1997 39 [46] Yuji Ijiri and Herbert A Simon Skew Distributions and the Sizes of Business Firms North-Holland, Amsterdam, 1977 [47] T Kaizoji Inflation and deflation in financial markets Physica A., 343:662–668, Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 106 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o 2004 45 [48] K Kiyono, Z R Struzik, and Y Yamamoto Criticality and phase transition in stock– price fluctuations Physical Rev Lett., 96:068701, 2006 31 [49] A Krawiecki, J A Holyst, and D Helbing Volatility clustering and scaling for financial time series due to attractor bubbling Phys Rev Lett., 89:158701, 2002 31 [50] P Krugman The Self-Organizing Economy Wiley-Blackwell, 1996 34 [51] M Levy and S Solomon New evidence for the power-law distribution of wealth Physica A, 242:90–94, 1997 [52] Paul Lévy Calcul des Probabilités Gauthier-Villars, Paris, 1925 [53] Honggang Li and Jr J Barkley Rosser Market dynamics and stock price volatility European Physical Journal B, 39:409–413, 2004 [54] F Lillo, J D Farmer, and R N Mantegna Econophysics: Master curve for priceimpact function Nature, 421(129-130), 2003 31 [55] M Loretan and P C B Phillips Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets J Empirical Finance, (1):211–248, 1994 12, 41 [56] Alfred J Lotka The frequency distribution of scientific productivity Journal of the Washington Academy of Sciences, 12:317–323, 1926 [57] T Lux The stable paretian hypothesis and the frequency of large returns: an examination of major german stocks Appl Financial Economics, 6:463–475, 1996 41, 67 [58] Thomas Lux and Michele Marchesi Scaling and criticality in a stochastic multi-agent model of a financial market Nature, 397:498–500, 1999 [59] D Madan and E Seneta The variance gamma model for share market returns Journal of Business, 63:511–524, 1990 82 [60] Ettore Majorana Il valore delle leggi statistiche nelle fisica e nelle scienze sociali Scientia, 36:58–66, 1942 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 107 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o [61] D Makowiec On modeling of inefficient market Physica A, 344:36–40, 2004 45 [62] Benoit B Mandelbrot The variation of certain speculative prices Journal of Business, 36:394–419, 1963 6, 12, 31, 41 [63] Benoit B Mandelbrot The Fractal Geometry of Nature W.H Freeman, San Francisco, 1983 [64] Benoit B Mandelbrot Fractals and Scaling in Finance Springer-Verlag, New York, 1997 6, 12, 41 [65] R N Mantegna and H E Stanley Stochastic process with ultraslow convergence to a gaussian: The truncated levy flight Phys Rev Lett., 73:2946, 1994 41 [66] R N Mantegna and H E Stanley An Introduction to Econophysics: Correlations and Complexity in Finance Cambridge University Press, 2000 31, 43 [67] Rosario N Mantegna Lévy walks and enhanced diffusion in milan stock exchange Physica A, 179:232–242, 1991 [68] Rosario N Mantegna and H Eugene Stanley An Introduction to Econophysics: Correlations and Complexity in Finance Cambridge University Press, Cambridge, UK, 2000 [69] K Matia, M Pal, H Salunkay, and H.E Stanley Scale-dependent price fluctuations for the indian stock market Europhys Lett., 66(6):909, 2004 45 [70] J.L McCauley and G.H Gunaratne An empirical model of volatility returns and option pricing Physica A., 329:178–198, 2003 45 [71] Joseph L McCauley Dynamics of Markets: Econophysics and Finance Cambridge University Press, Cambridge, UK, 2004 [72] R C Merton and Bell Theory of rational option pricing J Econom Manag Sci., 4: 141, 1973 34 [73] L.C Miranda and R Riera Truncated levy walks and an emerging market economic index Physica A., 297:509–520, 2001 45 [74] M O’Hara Market Microstructure Theory Blackwell Publishing, 1997 60 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 108 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o [75] Richard Olsen, Ulrich A Muller, Michel Dacorogna, Olivier V Pictet, Rakhal R Dave, and Dominique M Guillaume From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets Finance Stoch, 1(2): 95–129, 1997 67 [76] M F M Osborne Brownian motion in stock markets Operations Research, 7:145– 173, 1959 6, 43 [77] M Otto Technical report, 43 [78] J p Bouchaud and M Potters Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management Cambridge University Press, 2nd edition, 2009 31 [79] M Meyer C.-k Peng P Fizeau, Y Liu and H E Stanley Volatility distribution in the s and p500 stock index Physica A, 245:441, 1997 1, 35 [80] V Pareto Giornale degli Economisti, Roma, 1895 14, 41 [81] Vilfredo Pareto Cours d’économie politique Paris and Lausanne (English translation by Ann Schwier, 1897 6, 41 [82] W Paul and J Baschnagel Stochastic Processes: From Physics to Finance Springer, 2000 31, 34 [83] V Plerou, L A N Amaral, P Gopakrishnan, M Meyer, and H E Stanley Similarities between the growth dynamics of university research and competitive economic activities Nature, 400:433–437, 1999 [84] V Plerou, P Gopikrishnan, B Rosenow, L A N Amaral, and H E Stanley Universal and nonuniversal properties of financial cross-correlation matrices Phys Rev Lett., 83:1471–1475, 1999 67 [85] V Plerou, P Gopikrishnan, X Gabaix, and H E Stanley Quantifying stock price response to demand fluctuations Phys Rev E, 66:027104, 2002 31 [86] T Preis, W Paul, and J J Schneider Fluctuation patterns in high-frequency financial asset returns Europhys Lett., 82(68005), 2008 31 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 109 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Tài liªu tham kh£o [87] R Rebonato Interest-Rate Option Models John Wiley and Sons, Chichester, 1996 39 [88] R Remer and R Mahnke Application of heston model and its solution to german dax data Physica A, 344(236), 2004 45 [89] Jr Rosser, J Barkley Dynamics of emergent urban hierarchy Chaos, Solitons & Fractals, 4:553–562, 1994 [90] A Christian Silva Applications of physics to finance and economics: returns, trading activity and income PhD thesis, University of Maryland, College Park, MD, 20742, 2005 42, 82 [91] A.C Silva, R.E Prange, and V.M Yakovenko Exponential distribution of financial returns at mesoscopic time lags: A new stylized fact Physica A, 344:227–235, 2004 45 [92] D Sornette and A Johansen Significance of log-periodic precursors to financial crashes Quantitative Finance, 1:452–471, 2001 [93] D Sornette and D Zajdenweber Economic returns of research: The pareto law and its implications European Physical Journal B, 8:653–664, 1999 [94] Didier Sornette Why Stock Markets Crash: Critical Events in Complex Financial Systems Princeton University Press, Princeton, 2003 [95] Frank Spitzer Random Fields and Interacting Particle Systems American Mathematical Society, Providence, 1971 [96] M H R Stanley, L A N Amaral, S V Buldyrev, S Havlin, H Leschhorn, P Maass, M A Salinger, and H E Stanley Scaling behavior in the growth of companies Nature, 379:804–806, 1996 [97] Michael Stutzer The statistical mechanics of asset prices In K D Elworthy, W Norrie Everitt, and E Bruce Lee, editors, Differential Equations, Dynamical Systems, and Control Science: A Festschrift in Honor of Lawrence Markus, Volume 152, pages 321–342 Marcel Dekker, New York, 1994 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn 110 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn