| 中国股票交易市场复杂性的实证研究 |
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| 引用本文： | 沈悦,赵建军.中国股票交易市场复杂性的实证研究[J].经济经纬,2008(2):152-155. |
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| 作者姓名： | 沈悦 赵建军 |
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| 作者单位： | 西安交通大学,经济与金融学院,陕西,西安,710061 |
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| 摘 要： | 笔者将分形、混沌等复杂科学理论引入中国股票市场交易的研究。沪深A股市场价格并不呈随机行走状态,收益序列之间存在趋势持续的特性且呈现出低维确定性混沌过程,表现出强烈的复杂性系统特征。实证的结果为中国证券市场中的正反馈行为提供了依据。
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| 关 键 词： | 复杂性 重标度极差 关联维数 |
| 文章编号： | 1006-1096(2008)02-0152-04 |
| 修稿时间： | 2008年1月10日 |
An Empirical Study on the Complexity of Chinese Stock Exchange Market |
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| SHEN Yue,ZHAO Jian-jun.An Empirical Study on the Complexity of Chinese Stock Exchange Market[J].Economic Survey,2008(2):152-155. |
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| Authors: | SHEN Yue ZHAO Jian-jun |
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| Abstract: | This paper introduces fractal,chaotic and other complex scientific theories into the study of Chinese stock market.The stock prices in Shanghai and Shenzhen A-share market do not go randomly.The characteristic of trend persistence existing between yield series and the low-dimensional chaotic process is presented.It shows sharp complex system features and the empirical results provide evidence for the positive feedback behavior in Chinese securities market. |
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| Keywords: | complexity rescaled range correlation dimension |
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