| 股票价格持续大幅波动前后多重分形谱的异常及分析 |
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| 引用本文： | 周孝华,宋坤,杨秀苔. 股票价格持续大幅波动前后多重分形谱的异常及分析[J]. 管理工程学报, 2006, 20(2): 92-96 |
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| 作者姓名： | 周孝华 宋坤 杨秀苔 |
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| 作者单位： | 重庆大学经济与工商管理学院,重庆,400030 |
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| 摘 要： | 利用多重分形谱可以深入地分析金融时间序列的微观结构及其特征.本文以民生银行、长江通信二上市公司的具体数据为例,以它们出现持续大幅震荡前后共35天的5min股价高频交易序列为原始数据,并将连续5天的高频数据分为一组,考察每支股票在持续大涨及持续大跌前后各个阶段时多重分形谱的形态及其重要参数的变化.研究表明股价持续大幅波动前后,股票价格的高频时间序列的多重分形谱具有前兆性的共同特征.运用本文的研究方法可以对个股持续大幅波动的开始及结束做出一定预测.
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| 关 键 词： | 持续大涨大跌 多重分形谱 高频交易数据 预测 |
| 文章编号： | 1004-6062(2006)02-0092-05 |
| 修稿时间： | 2005-01-25 |
Anomaly of Multifractal Spectrum Before and After Stock Price Continuously Fluctuating Sharply and Its Analyses |
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| ZHOU Xiao-hua,SONG Kun,YANG Xiu-tai. Anomaly of Multifractal Spectrum Before and After Stock Price Continuously Fluctuating Sharply and Its Analyses[J]. Journal of Industrial Engineering and Engineering Management, 2006, 20(2): 92-96 |
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| Authors: | ZHOU Xiao-hua SONG Kun YANG Xiu-tai |
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| Abstract: | Using multifractal spectrum this paper analyze the micro finance properties of the stock-price sequences.Taking two stocks as examples,wefirst select each stock'5 min high frequency trading data totaling 35 trading days,which cover the beginning and ending of continuous and sharp fluctuation on stock-prices.Then five successive trading days are classed into one group.And concerning to this two stocks,we research multifractal spectra's sharps and key parameters of each group.Result shows that multifractal spectra have common precursors before and after prices fluctuate anomalously.Using the method in this paper we can forecast when stock prices' abnormal variation occur and finish. |
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| Keywords: | continuous and sharp fluctuation multifractal spectrum high-frequency trading data forecast |
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