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上海股票市场的分形特征研究
引用本文:柴亮,余佳.上海股票市场的分形特征研究[J].上海金融学院学报,2010(2):53-58.
作者姓名:柴亮  余佳
作者单位:河北经贸大学,石家庄,050061
摘    要:本文对有效市场假说和分型市场假说的基本理论做了介绍,对上海证券市场的分形结构进行了研究,并对上证指数收盘价的日数据和周数据进行R/S分析并计算Hurst指数,通过对比发现,上海股票市场不属于EMH所描述的有效市场,而是具有自相似性、状态持续性、长期记忆周期等明显的分形特征。

关 键 词:分形市场  R/S分析  Hurst指数  持续性  长期记忆性

The Study on the Fractal Characteristic in Shanghai Stock Market
Chai Liang,Yu jia.The Study on the Fractal Characteristic in Shanghai Stock Market[J].Journal of Shanhai Finance University,2010(2):53-58.
Authors:Chai Liang  Yu jia
Institution:Chai Liang,Yu jia
Abstract:This paper introduces the basic theory of Efficient Market Hypothesis and Fractal Market Hypothesis,analyzes the fractal market structure in Shanghai securities business,make a R /S analysis and Hurst index calculation of the day and week data of Shanghai stock index closing price.By contrast,we find:Shanghai stock market does not belong to the efficient market that EMH has described,but it has obvious characteristic such as self-similar,persistence and long-term memory and so on.
Keywords:fractal market  R /S analysis  Hurst index  persistence  long-term memory
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