| 基于RS分析的中国债券市场分形特征研究 |
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| 引用本文： | 安宁宁,韩兆洲. 基于RS分析的中国债券市场分形特征研究[J]. 统计与信息论坛, 2007, 22(1): 77-80 |
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| 作者姓名： | 安宁宁 韩兆洲 |
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| 作者单位： | 暨南大学,经济学院,广东,广州,510632 |
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| 摘 要： | 文章详细讨论了RS分析方法、概率空间分形维的测度,通过对上证国债指数和上证企债指数的RS分析,得到了两序列赫斯特指数和非周期循环长度,进一步得出中国债券市场为分形市场的结论.
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| 关 键 词： | R/S分析 债券市场 赫斯特指数 分形维 |
| 文章编号： | 1007-3116(2007)01-0077-04 |
| 修稿时间： | 2006-09-12 |
A Study on Fractal Features of China''''s Bond Market Based on R/S Analysis |
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| AN Ning-ning,HAN Zhao-zhou. A Study on Fractal Features of China''''s Bond Market Based on R/S Analysis[J]. Statistics & Information Tribune, 2007, 22(1): 77-80 |
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| Authors: | AN Ning-ning HAN Zhao-zhou |
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| Affiliation: | AN Ning-ning HAN Zhao-zhou |
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| Abstract: | This paper discussed particularly the R/S method,the fractal dimension in probabilistic measure space.Through the analysis of the index series of public debt and corporations' bond,we got their Hurst(exponent) and the length of non-periodical cycle,and then conclude that China's bond market follows the(fractal) market hypothesis. |
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| Keywords: | R/S analysis Bond Market hurst exponent fractal dimension |
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