| 基于R／S方法的公司股票实证研究 |
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| 引用本文： | 何其慧,程蓉,毛军军. 基于R／S方法的公司股票实证研究[J]. 上海市经济管理干部学院学报, 2009, 7(6): 57-61 |
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| 作者姓名： | 何其慧 程蓉 毛军军 |
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| 作者单位： | 1. 安徽经济管理学院,安徽,230039;安徽大学,安徽,230039
2. 安徽大学,安徽,230039 |
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| 摘 要： | 根据HP，APPLE和IBM三家IT公司股票收益率的真实时间序列，在R／S分析法的基础上稍作改进，可得出了三支股票的Hurst指数。在不同时间标度下，HP，APPLE和IBM股票的H指数均依次减小，说明IBM股票的价格稳定性最强。
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| 关 键 词： | 股票 重标极差法分析 Hurst指数 非周期循环 |
An Empiracle Research to Companies Stock by R/S Method |
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| HE Qi-hui,CHENG Rong,MAO Jun-jun. An Empiracle Research to Companies Stock by R/S Method[J]. Journal of Shanghai Economic Management College, 2009, 7(6): 57-61 |
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| Authors: | HE Qi-hui CHENG Rong MAO Jun-jun |
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| Affiliation: | 1.Anhui School of Economics and Management, Anhui 230039; 2.3. Anhui University, Anhui 230039) |
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| Abstract: | By improving based on the Rescaling Range analysis（R/S analysis）, we estimate the Hurst exponents in the system of three IT company HP, APPLE and IBM stock. The Hurst exponents of different time scales of IBM, APPLE and HP reduce in order. It means that the price of IBM has the most stability. We verify the results combined with the financial situation. |
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| Keywords: | stock R/S analysis Hurst exponent non-periodic cycle |
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