| 基于R／S分析的中国股市分形结构的实证研究 |
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| 引用本文： | 杨成义,王大鹏,刘澄. 基于R／S分析的中国股市分形结构的实证研究[J]. 北京科技大学学报(社会科学版), 2009, 25(1): 30-33,87 |
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| 作者姓名： | 杨成义 王大鹏 刘澄 |
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| 作者单位： | 北京科技大学,北京,100083 |
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| 摘 要： | 文章以中国股市的日收益率为研究对象,运用R/S研究方法对中国股市的分形结构进行实证分析研究.通过对R/S双对数曲线以及V统计量的的拟合,研究结果表明中国股票市场的收益序列均不服从正态分布,并且呈现出状态的持续性和长期记忆性,具有明显的分形特征.这种特征为进一步认识我国股票市场的收益的持续性、循环周期提供了一定的实证分析基础.
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| 关 键 词： | 分形结构 R/S分析 股票市场 |
Empirical Study on the Fractal Structure of China Stock Market Based on R/S Analysis |
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| YANG Cheng-yi,WANG Da-peng,LIU Cheng. Empirical Study on the Fractal Structure of China Stock Market Based on R/S Analysis[J]. Journal of University of Science and Technology Beijing(Social Sciences Edition), 2009, 25(1): 30-33,87 |
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| Authors: | YANG Cheng-yi WANG Da-peng LIU Cheng |
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| Affiliation: | UniversityofScience and TechnologyBeijing;Beijing100083;China |
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| Abstract: | This paper, taking the daily profitability of China stock market as an example, is an empirical study of the fractal structure of China stock market based on R/S analysys. Through fitting of R/S double logarithmic curve and V statistics, it gets the conclusion that the returns serial in China stock market is not normal distritution and displays fractal structure characteristics. This character provides an empirical study basis for understanding the sustainability and cycle of profitacility in China stock ma... |
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| Keywords: | fractal structure R/S analysis stock market |
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