我国资本市场分形特性研究

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.

Research on the Fractal Characteristics of the Capital Market

The front questions of any science development are all non-linear questions including social science. However, linear models are still routinely used because they are much easier to use than the correct nonlinear ones. As economic behavior being more and more complicated, some economic phenomena cannot reflect the objective reality well till they are portrayed with the dynamic non-linear model. In the past 20 years, fractal theory, one of the science branches of the non-linear problem, becomes the front field of the economy study and application. This paper probes into the basic characteristics of the time series of fractal and the methods of calculating the Hurst index and describes the general method of calculating the Hurst index of the time series. At last, this paper analyzes the fractal characteristics of the capital market in China by performing the R/S analysis and summarizes the fractal theory of the capital market by analyzing practical examples.