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基于分形理论的江苏沿海农村经济发展差异研究 总被引:1,自引:0,他引:1
张华兵 《国土与自然资源研究》2011,(6):12-14
随着江苏沿海地区发展规划上升为国家战略,新一轮沿海开发的号角已经奏响.农村现代化是沿海地区现代化的重要组成部分,如何实现江苏沿海农村经济的快速发展及区域内协调发展是提高江苏沿海经济水平的重要内容,直接关系到沿海地区发展的成败.论文在对沿海地区认识的基础上,首先选取11 个指标构建了沿海农村经济发展差异的评价体系,运用分... 相似文献
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证券市场是个典型的非线性复杂系统。本文运用修正R/S分析法对我国基金风格资产收益单一分形的基本统计特征进行检验,并与经典R/S方法进行对比分析。研究结果表明:在日、周、月等三种时间标度下Hurst指数均显著大于0.5,表现为持久相关性特征,说明股市风格具有长记忆性;从经典R/S分析结果看,我国股市风格具有显著的分形结构特征,风格资产指数收益率序列具有长记忆性,不同风格资产的业绩具有不同的周期性。 相似文献
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Several studies that have investigated a few stocks have found that the spacing between consecutive financial transactions
(referred to as trade duration) tend to exhibit long-range dependence, heavy tailedness, and clustering. In this study, we
empirically investigate whether a larger sample of stocks exhibit those characteristics. We do so by comparing goodness of
fit in modeling trade duration data for stable distribution and fractional stable noise based on a procedure applying bootstrap
methods developed by the authors with several alternative distributional assumptions in modeling trade duration data. The
empirical results suggest that the autoregressive conditional duration model with stable distribution fits better than other
combinations, while fractional stable noise itself fits better for the time series of trade duration. Our result is consistent
with the general findings in the literature that trade duration is informative and that short trade durations move prices
more than long trade duration. In addition, our result confirms the advantage of fractal models in the study of roughness
in trade duration and provides some evidence for duration dependence.
S. Rachev’s research was supported by grants from the Division of Mathematical, Life and Physical Science, College of Letters
and Science, University of California, Santa Barbara, and the Deutschen Forschungsgemeinschaft. W. Sun’s research was supported
by grants from the Deutschen Forschungsgemeinschaft. P.S. Kalev’s research was supported with a NCG grant from the Faculty
of Business and Economics, Monash University. Data are supplied by Securities Industry Research Center of Asia-Pacific (SIRCA)
on behalf of Reuters. The first draft of this paper was presented at the International Conference on High Frequency Finance
2006; the authors would like to thank the conference participants for their valuable comments. 相似文献
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郁俊莉 《中南财经政法大学学报》2005,(3):89-93,109
任何科学发展,包括社会科学在内,其前沿问题都是非线性问题.但是,由于现行线性模型的简单易行,实际中仍被广泛运用.随着经济行为越来越复杂,只有用动态的非线性模型刻画某些经济现象,才能较好地反映客观现实.近二十年来,作为研究非线性问题科学分支之一的分形理论,也就成了经济学科研究与应用的前沿领域.本文探讨了分形时间序列的基本特点及Hurst指数计算方法,描述了计算时间序列Hurst指数的一般方法,运用R/S分析法分析了我国资本市场的分形特性,通过实例分析,总结了资本市场分形理论的基本内容. 相似文献
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山东省人力资本空间结构的分形研究 总被引:1,自引:0,他引:1
试图将分形理论及方法引入到区域人力资本空间结构的研究之中,并在山东省人力资本空间结构的研究中作了尝试;利用马尔柯夫转移矩阵对山东省人力资本等级结构进行了预测,在这一基础上,计算出了1992年、1997年和2002年山东省人力资本空间结构的分维数,并对2007年的分维数进行了模拟,结果表明这一分维数不断下降;总结了山东省人力资本空间结构的特点。 相似文献
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基于分形理论的特大城市新型产业空间发展演变研究——以广州商务办公空间为例 总被引:1,自引:0,他引:1
本文借助分形理论和集中指数测算,从街道和均一分析单元两种空间尺度对广州办公业空间集中与分散的演变趋势进行了定量研究。研究结果表明,无论是在街道还是在均一分析单元层面,广州商务办公空间的空间分维值呈逐渐上升趋势,广州商务办公空间的集中程度逐年降低,办公空间的空间垄断性已不明显,空间分散化趋势得到了确立。但集中指数仍然处于较高的水平,表明广州商务办公空间虽然出现了分散的态势,但总体上仍然处于集中阶段。 相似文献
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Commodity price behavior holds much interest not only because these markets are affected by waves of speculative activity
similar to security markets but more so that these commodities are linked to industries which purchase them and developing
country producers which supply them. Commodity spot and future prices have thus been studied extensively. This research extends
this work by employing recent fractal approaches to evaluate how the apparent random movements associated with short term
behavior can also persist when examining long run behavior. We thus test for the presence of a persistent and finite variance
component (i.e. long memory stationary process) as opposed to an infinite variance component (i.e. short memory nonstationary
process) in a selected group of international commodity price series. Both fractal and persistent dependence hypotheses and
test statistics have been employed. Estimates made of the power law exponent and of the nonintegral or fractional exponent
suggest generating processes which are closer to black noise than to white, pink or brown noise.
First version received: October 1997/Final version received: April 2000 相似文献