| 沪、深股市综合指数分形特征及长期记忆研究 |
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| 引用本文： | 郑丰,张润彤,何凌云,田志勇. 沪、深股市综合指数分形特征及长期记忆研究[J]. 北京交通大学学报(社会科学版), 2008, 7(1): 70-74 |
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| 作者姓名： | 郑丰 张润彤 何凌云 田志勇 |
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| 作者单位： | 1. 北京交通大学,经济管理学院,北京,100044
2. 中国农业大学,经济管理学院,北京,100091 |
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| 基金项目： | 北京市科委博士生论文资助专项(ZZ0751)，北京交通大学北京交通发展研究基地基金项目(70173015) |
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| 摘 要： | 本文根据沪（上海）、深（深圳）两市综合指数收益率的真实时间序列，通过应用重标极差分（R/S）分析法分析了沪、深股市中存在的分形特征，并得到了两个市场的Hurst指数。在不同时问标度下，深市的Hurst指数均高于沪市，说明深市的价格稳定性更高，更具有指导意义。此外，根据V统计量两个市场具有相同的多个非周期循环，但深圳比上海市场多一个非周期循环。
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| 关 键 词： | 金融复杂性 Hurst指数 R/S分析 非周期循环 综合指数 |
| 文章编号： | 1672-8106(2008)01-0070-05 |
| 修稿时间： | 2006-10-13 |
The Analysis of Fractal Features and Long-run Memory Mechanism in the Shanghai and Shenzhen Stock Market Composite Index Systems |
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| ZHENG Feng,ZHANG Run-tong,HE Ling-yun,TIAN Zhi-yong. The Analysis of Fractal Features and Long-run Memory Mechanism in the Shanghai and Shenzhen Stock Market Composite Index Systems[J]. Journal of Beijing Jiaotong University Social Sciences Edition, 2008, 7(1): 70-74 |
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| Authors: | ZHENG Feng ZHANG Run-tong HE Ling-yun TIAN Zhi-yong |
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| Affiliation: | ZHENG Feng, ZHANG Run-tong, HE Ling-yun, TIAN Zhi-yong (1. School of Economics and Management ,Beijing Jiaotong University, Beijing 100044, China; 2, School of Economies and Management, China Agricultural University, Beijing 100091, China) |
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| Abstract: | By using the Rescaling Range analysis(R/S analysis),we analyse the multi-fractal features in the system of Shanghai and Shenzhen Stock Market Composite Index.We estimate the Hurst exponents in the above mentioned system.The Hurst exponents of different time scales of Shenzhen Stock Market are higher than Shanghai's.It means that the price of Shenzhen Market has more consulting value to investors.We introduce V Stat to detect the two markets have approximate non-periodic cycles and the same memory lengths of them,but we find Shenzhen Market has another non-periodic cycle other than mutual cycles. |
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| Keywords: | finance complexity Hurst exponent R/S analysis nonperiodic cycle composite index |
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