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基于R-MFDFA分析法的上证指数波动性的实证研究

Empirical Study of the Volatility of Shanghai Composite Index Based on R-MFDFA Method
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摘要 运用R-MFDFA分析法,以上证综指为研究对象,考察上海股市在不同时间标度下的波动特征.研究结果表明,上海股市在不同时间标度下均存在明显的多重分形特征,波动呈现出一种非线性变化状态.同时分析上海股市存在多重分形结构的可能性原因. The volatility properties of Shanghai Composite Index were studied in different time scales using R- MFDFA method in this paper. The existence of multifractality was clearly shown in Shanghai stock market in different time scales. It was also found that the fluctuation had a non- linear feature. In addition, the reasons why muhifractal structure exists were analyzed.
作者 庄晓洋
机构地区 南京财经大学应用数学学院
出处 《淮北师范大学学报（自然科学版）》 CAS 2012年第2期21-26,共6页 Journal of Huaibei Normal University：Natural Sciences
基金 南京财经大学研究生创新研究项目(M11054)
关键词 上证综指 多重分形 R—MFDFA分析法 广义HURST指数 Shanghai Composite Index muhifractal R - MFDFA general Hurst exponent possible
分类号 F224.9 [经济管理—国民经济] F830.9 [经济管理—金融学]
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参考文献12

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共引文献27

淮北师范大学学报（自然科学版）
2012年 第2期

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