| 沪深股市波动的多重分形结构分析 |
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| 引用本文： | 曹广喜,史安娜.沪深股市波动的多重分形结构分析[J].经济经纬,2006(6):136-139. |
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| 作者姓名： | 曹广喜 史安娜 |
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| 作者单位： | 河海大学,商学院,江苏,南京,210098 |
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| 摘 要： | 利用多重分形消除趋势分析方法,以1991年5月3日至2006年4月20日的上证综指和深成指数日收盘价的收益率序列为样本,研究了我国沪深股市的波动特征。结果表明我国沪深股市均具有多重分形结构,小幅波动具有长程相关性,大幅波动具有反持续性,且上证综指的波动程度比深成指数收益率的波动程度强烈。
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| 关 键 词： | 多重分形 Hǒlder范数 广义Hurst指数 长程相关性 |
| 文章编号： | 1006-1096（2006）06-0136-04 |
| 收稿时间： | 2006-08-16 |
| 修稿时间： | 2006年8月16日 |
An Analysis of the Multi-fractal Structure of the Fluctuation of Shanghai and Shenzhen Stock Market |
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| CAO Guang-xi,SHI An-na.An Analysis of the Multi-fractal Structure of the Fluctuation of Shanghai and Shenzhen Stock Market[J].Economic Survey,2006(6):136-139. |
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| Authors: | CAO Guang-xi SHI An-na |
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| Institution: | School of Business, Hohai University, Nanjing 210098, China |
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| Abstract: | Using the MFDFA method,with the sequence of yield of the daily closing quotation prices in Shanghai Stock Exchange comprehensive index and Shenzhen Stock Exchange component index during the period of May 3rd,1991 to April 20th,2006 as the sample,the author researches the fluctuation character of Shanghai and Shenzhen stock market.The result shows that both Shanghai Stock Exchange and Shenzhen Stock Exchange have multi-fractal structure,small-scope fluctuation has longrange correlation,large-scope fluctuation has anti-durative,and the fluctuation extent of yield in Shanghai Stock Exchange comprehensive index is more intense than the fluctuation extent of yield in Shenzhen Stock Exchange component index. |
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| Keywords: | multi-fractal Holder norm generalized Hurst index long-range correlation |
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