| 基于小波分析的股市高频互相关研究 |
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| 引用本文： | 侯守国,张世英.基于小波分析的股市高频互相关研究[J].中国管理科学,2006,14(3):1-6. |
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| 作者姓名： | 侯守国 张世英 |
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| 作者单位： | 天津大学管理学院, 天津, 300072 |
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| 基金项目： | 国家高技术研究发展计划(863计划) |
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| 摘 要： | 以高频数据为对象,研究沪深股市的交叉互相关性.利用最大重复离散小波变换对沪深股市的交叉互相关性做小波分析,把互相关函数分解在不同的尺度上,以便更清晰地识别沪深股市高频收益序列的互相关性.经过尺度分解后,互相关序列的小波方差之和等于原序列的方差,原高频互相关序列高峰、厚尾的特性不再显著,并趋向于正态分布.
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| 关 键 词： | 高频 小波变换 互相关 小波方差 |
| 文章编号： | 1003-207(2006)03-0001-06 |
| 收稿时间： | 2005-06-30; |
| 修稿时间： | 2005年6月30日 |
Research of Cross - Correlation of High - Frequency Data in Stock Markets with Wavelet Analysis |
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| HOU Shou-guo,ZHANG Shi-ying.Research of Cross - Correlation of High - Frequency Data in Stock Markets with Wavelet Analysis[J].Chinese Journal of Management Science,2006,14(3):1-6. |
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| Authors: | HOU Shou-guo ZHANG Shi-ying |
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| Institution: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | Cross-correlation of high-frequency time series between Shanghai Stock Market and Shenzhen Stock Market is studied.In order to identify details of cross-correlation more distinctly,cross-correlation is analyzed by MODWT(maximal overlap discrete wavelet transform)on various scales.The sum of wavelet variance after decomposition is equal to the variance of original time series.Along with decomposition,the characteristic of high kurtosis and thick tail has been decaying;distribution of new time series is tending to normal distribution. |
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| Keywords: | high-frequency wavelet transform cross-correlation wavelet variance |
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