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1.
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
2.
José Antonio Climent Hernández Luis Fernando Hoyos Reyes Domingo Rodríguez Benavides 《Contaduría y Administración》2017,62(5):1501-1522
This research work analyzes the yields of the exchange rate parities of the American dollar, Canadian dollar, Euro, and Yen; estimates the basic statistics and the α-stables; carries out the Kolmogorov–Smirnov, Anderson–Darling, and Lilliefors goodness of fit tests; estimates the self-similar exponents and carries out the t and F tests, ruling out that the series of parities are multifractal. It also estimates the confidence intervals of the exchange rate parities and concludes that the estimated α-stable distributions are more efficient than the Gaussian distribution to quantify the risks of the market, and that the series are self-similar. Through the ? index, we can infer the risk of the events, indicating that the parities are anti-persistent and thus have short-term memory, mean reversion, and a negative correlation with the high risk in the short and medium term. The estimation and validation of the α-stable distributions and the self-similar exponent are important in the evaluation and creation of innovative investment instruments through financial engineering, risk administration, and the evaluation of derived products. 相似文献
3.
In this paper we give upper bounds for both the Value at Risk VaR α , 0 < α < 1 , and for ruin probabilities associated with the supremum of a process driven by a Brownian motion and a compound Poisson process. We obtain lower bounds for the same Value at Risk, and for different cases we discuss the behavior of the bounds for small α. We prove our bounds are "asymptotically" optimal, as α tends to zero. The ruin probabilities obtained are related to other bounds found in recent literature. 相似文献
4.
本文通过应用多重分形谱分析法和多重分形消除趋势波动分析(MF-DFA)法,研究了新产生的中国股指期货市场的多重分形性。通过对2942个股指期货最后十分钟结算价格的分析,我们发现中国股指期货的收益率具有长程相关性和多重分形性,期货价格波动并不能用单一的标度指数进行充分描述。进一步通过将原始序列和转换后的收益序列进行比较,转换过程包括重排以及相位随机化,我们发现导致中国股指期货市场多重分形性的两种不同成因。研究结果表明,虽然厚尾分布是造成多重分形性的一个方面,但长程相关性才是引起中国股指期货市场多重分形的主要原因。 相似文献
5.
This study examines the presence of long-run dependence in a variety of crude and refined energy spot markets during the 1986–2018 period using the time-varying generalised Hurst exponent. Our results indicate that the weak-form efficiency in energy spot markets is clearly time-varying, with USGC(U.S. Gulf Coast Conventional Gasoline) Diesel Fuel the most efficient and Propane the least. An important finding is that after the subprime crisis, the persistence of energy spot market products has increased. Overall, our finding highlights that the time-varying model is preferable to the time-constant one since the former can capture time-varying efficiency, which heavily depends on a country’s predominant economic and political conditions. 相似文献
6.
We test whether “detrended fluctuation analysis” (DFA)—an econophysics method—identifies the transition from efficient-market trading to herding behavior and the rise of the NASDAQ dot.com stock market bubble. DFA divides a time series into “segments” of varying lengths and then tests whether power-law distributions exist within the segments. A power-law distribution of stock-price changes within a segment indicates herding behavior and the start of the dot.com bubble. The clarity of the transition indication depends on both segment lengths and segment starting dates. Our findings show that DFA can be used to identify the beginning of stock-market bubbles but not the beginning of crashes. 相似文献
7.
LME镍、铜期货价格变动的时间序列分析 总被引:1,自引:0,他引:1
本文基于2003~2008年伦敦金属交易所(LME)3月镍、铜期货价格的日线数据,运用经典的时间序列R/S分析方法来研究镍、铜期货市场价格的非线性特征。分析结果显示:LME镍、铜期货市场价格波动是典型的有偏随机游动,H值均大于0.5,期货价格时间序列具有持久性趋势;LME镍、铜期货存在大约分别为447天和442天的非周期循环长度。 相似文献
8.
投资者情绪、市场波动与股市泡沫 总被引:1,自引:0,他引:1
我国投资者情绪容易受到噪音交易者影响,其他类型交易者可利用噪音交易者的交易策略在博弈中获取超额利润,这为投机性泡沫的产生提供了微观基础。在市场波动机制中,投资者情绪与股价变化存在动态关系,股价泡沫存在内在持续性,引发市场正反馈效应,从而促成投机性泡沫的生成。 相似文献
9.
入境旅游客源市场分析与营销策略研究——以甘肃省为例 总被引:1,自引:0,他引:1
文章首先综述了旅游客源市场分析和营销的有关理论,然后通过分析2005年在兰州、武威、敦煌、天水所作的抽样调查问卷和甘肃旅游局提供的统计资料,对甘肃入境客源市场与营销进行了初步研究。从而为甘肃旅游发展提供了基础资料和依据。 相似文献
10.
Vasilios Plakandaras Periklis Gogas Theophilos Papadimitriou 《Applied economics》2013,45(36):3874-3890
In this article, we evaluate inflation persistence in the United States using long-range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks. Departing from classic econometric approaches found in the relevant literature, we evaluate inflation persistence through the nonparametric Hurst exponent within both a global and a rolling window framework. Moreover, we expand our analysis to detect the potential existence of chaos in the data generating process, in order to enhance the robustness of our conclusions. Overall, we find that inflation persistence is high from 1775 to 2013 for the annual data-set and from February 1876 to May 2014 in monthly frequency, respectively. Especially from the monthly data-set, the rolling window approach allows us to derive that inflation persistence has reached to historically high levels in the post–Bretton Woods period and remained there ever since. 相似文献