中国股票市场多标度幂律特征和临界现象

本文对上海证券交易所综合股价指数(SSECI)收益率多标度条件下的分布特征和临界现象的研究发现,收益率分布的中心部分服从Lévy分布,尾部近似对称分布,依幂律衰减,负尾的衰减略高于正尾,整体衰减远超出Lévy律0<α<2的范围,也高于成熟市场α≈3的水平。此外,上证综指收益率在多标度条件下还表现出临界现象,在标度△t>4days时渐进收敛于正态分布,成熟市场△t≈4days的临界值对中国市场具有普适性。

Multiscale Power-Law Properties and Criticality of Chinese Stock Market

Motivated by the goal of discovering more accurate characteristics of Chinese stock market,this paper investigates the powerlaw properties and criticality of the Shanghai Stock Exchange Compound Index (SSEECI) with two benchmarks of 5-min and 1-day database.We find that the center profile of returns distribution is well described by the Lévy regime and,more important,that the approximately syrmnetric tails of distribution are characterized by another power-law regime with an exponent well out of the Lévy range 0< a <2 and also beyond the exponent α≈3 of fully developed markets.Moreover,we also show that returns appear to exhibit the criticality.When timescale △t>4 days,the distribution exhibits the slow convergence to normal Gaussian behavior.The phenomena support that the critical timescale △t≈4days of fully developed markets is universal for Chinese stock market.