摘要
以深圳股票市场为例,对深证成指指数数据进行了多重分形分析。首先,运用多重分形重标极差的方法对深证成指进行实证研究,结果表明在整个时间标度上Hurst指数均表现为持久性特征,而且随着标度τ的增加,Hurst指数呈现总体递增趋势,并且在整个标度范围上存在2个标度临界点,这体现了股指价格在不同标度范围下的状态跃迁现象。其次,运用多仿射方法确认了深圳股票市场多重分形特征的存在,验证了R/S分析方法中存在的标度临界点,并且进一步分析了不同临界标度范围下价格动态的本质特征。
Multifractal analysis of Shenzhen ingredient index was carried out. Multifractal rescaled range analysis was applied to study the stock market in Shenzhen empirically. It is found that the time series of the stock return show persistent property in different time scales and the larger the time scale, the larger Hurst Exponent. It is seen that there is two crossovers around the time scales, indicating a phase transition under different scales in function H（τ）. The method of multiaffine identified the existence of the multifractal characteristics was identified in the method of multiaffine and the essence of price dynamics of stock price index was analyzed under different scales.
出处
《管理学报》
2007年第4期449-452,459,共5页
Chinese Journal of Management
基金
国家自然科学基金资助项目(70371062)
