| 中、欧股市非线性分形特征的比较研究 |
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| 引用本文： | 罗付岩,唐邵玲.中、欧股市非线性分形特征的比较研究[J].数理统计与管理,2007,26(1):143-148. |
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| 作者姓名： | 罗付岩 唐邵玲 |
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| 作者单位： | 1. 桂林工学院数理系,广西桂林,5410042
2. 湖南师范人学数学与计算机科学学院概率统计系,湖南,长沙,410081 |
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| 摘 要： | 本文利用R/S重标极差法对中国股市(上证综指和深证成指)日收益的非线性分形特征进行实证分析,并与欧洲股市的五个重要股指进行比较,结果表明:中国股市收益波动比欧洲五大市场存在着更强的长程相关性和非周期性循环,沪、深两市的Hurst指数都明显大于0.6,具有一定的非线性分形特征。
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| 关 键 词： | R/S重标极差分析 V统计量 长期相关 分数(形)布朗运动 |
| 文章编号： | 1002-1566(2007)01-0143-06 |
| 修稿时间： | 2005-03-11 |
Comparative Study on No-linear Fractal Feature of Stock Market Between China and Europe |
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| LUO Fu-yan,TANG Shao-ling.Comparative Study on No-linear Fractal Feature of Stock Market Between China and Europe[J].Application of Statistics and Management,2007,26(1):143-148. |
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| Authors: | LUO Fu-yan TANG Shao-ling |
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| Affiliation: | 1. Guilin University of Technology Mathematics and physics department Guangxi, Guilin 541004 2. School of Mathematics and Computer Science, Hunan Normal Univrsity, Chang sha, 410081 |
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| Abstract: | In this paper, An empirical study on no-linear fractional feature of stock market in China is performed by the tool of R/S analysis, furthermore, We compared Chinese stock market with European stock market, the results show that there are a stronger long-term memory and no-period cycle in china stock market daily return than European stock market, and the Hurst exponent in shanghai and Shenzhen stock market is significantly more than 0.6, the stock market in China have the characteristic of no-linear fractal market. |
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| Keywords: | R/S analysis V statistic long-term dependence fractal brown motion |
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