摘要
作者将多重分形分析的三种方法(配分函数分析法、奇异谱分析法和多重分形趋势消除波动分析法)应用于我国上海证券市场在过去七年中的收盘指数序列,分析了不同时间标度对多重分形特性的影响.结果表明:上海证券市场具有弱多重分形特征,标度不变性达到六个数量级;多重分形的形状不随时间标度的改变而改变,但其强度随标度的减小而减弱;随着配分阶数的增大,多重分形随之增强,奇异谱曲线越来越粗糙,广义赫斯特指数逐渐减小.这些结果为进一步研究证券市场价格变化的动力学机理提供了坚实的实证基础.
In this article, we use throe multifractal analysis methods, which are partition function method, singular spectrum method and multifractal detrended fluctuation method, to analyse the closing price series during the past seven years in Shanghai Stock Market with different time scales. We have conclusions that Shanghai Stock Market has weak multifractal features, its shape does not change with time scales, but its strength weakens with the scale shortening. With the order of paritition function incrosing, the multifractal strength incroses, the singular spectrum curve becomes rougher and the general Hurst exponent decroses. These results provide solid empirical base for further research of the dynamic mechanism of stock market price series.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2007年第10期40-47,共8页
Systems Engineering-Theory & Practice
