| 不同股市收益率的多重分形特性比较 |
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| 引用本文： | 苑莹,庄新田,金秀.不同股市收益率的多重分形特性比较[J].管理学报,2009,6(4):502-505. |
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| 作者姓名： | 苑莹 庄新田 金秀 |
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| 作者单位： | 东北大学工商管理学院 |
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| 基金项目： | 国家自然科学基金，中国博士后科学基金 |
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| 摘 要： | 运用多重分形消除趋势波动分析方法,对国际上3个主要股票市场的多重分形特征进行了实证研究及比较.结果表明:股票市场均表现出多重分形特征,其中上海股票市场的多重分形特征最强,风险性也最大,其次为纳斯达克市场,香港股票市场的多重分形特征最弱,风险性相对较小.这说明仅仅运用单一的标度指数对其进行描述是不合适的.此外,在3个股票市场中,上海股票市场指数的最强涨落最大.这些实证结果为更好地研究股票市场的复杂结构提供了新的思路.
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| 关 键 词： | 资本市场复杂性 多重分形 消除趋势波动分析 收益率 |
Comparison of Multi-fractal Characteristics from Different Stock Markets |
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| YUAN Ying,ZHUANG Xintian,JIN Xiu.Comparison of Multi-fractal Characteristics from Different Stock Markets[J].Chinese JOurnal of Management,2009,6(4):502-505. |
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| Authors: | YUAN Ying ZHUANG Xintian JIN Xiu |
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| Institution: | Northeastern University;Shenyang;China |
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| Abstract: | Multi-fractal detrended fluctuation analysis method was used to research empirical the multi-fractal characteristics of three main stock markets empirically.It is found that all these stock markets show multifractal characteristics.The multifractal characteristic and risk of Shanghai stock market are the strongest and that of NASDAQ Stock Market is weaker than that of Hong Kong stock market.These indicate that a single scaling exponent would be unable to capture the complex dynamics inherent in the data.In ... |
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| Keywords: | capital market complexity multifractal detrended fluctuation analysis return |
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