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基于R/S分析的中国股票市场分形特征研究 被引量:52

R/S Analysis Based Study on Fractals in China's Stock Markets
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摘要 讨论分析时间序列分形性质的重标极差(R/S)方法,对中国股票市场的分形特征进行研究。通过分析 深圳和上海两个股票市场在不同时间标度下的收益率序列的Hurst指数和平均循环长度,得到两个市场是分 形市场、更大的时间标度能更清晰地表现出市场的趋势的结论。 This paper discusses the Re-scale approach for analysis the fractal characteristic of time series, which is applied to the analysis of China's stock markets. Based on the comparison of Hurst exponent and the length of average cycle of the returns in different time scales, it leads to the following results: these two markets are fractal markets, bigger time scale clearer trend will be displayed in China's stock markets.
作者 范英 魏一鸣
出处 《系统工程》 CSCD 北大核心 2004年第11期46-51,共6页 Systems Engineering
基金 国家自然科学基金资助项目中国科学院自然科学与社会科学交叉研究中心资助项目
关键词 重标极差 HURST指数 分形 收益率 Re-scale Hurst Exponent Fractals Return
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