摘要
用扩散指数来衡量股票市场随机行走的特征,并对中国股票市场高频数据的扩散指数进行了实证研究。结果表明:中国股市与其他股市具有相似的短暂非高斯行为,表现出超扩散;但是中国股市的长期行为更加丰富,在不同阶段具有明显不同的扩散指数。通过一维的扩散模型进行模拟,解释了不同价格时间序列的扩散指数值产生差异的机制。
The price index of stock market has the characteristic of random walk. The diffusion exponent can be used to measure this characteristic. A detailed empirical study on the diffusion exponent of Chinese stock market＇s high-frequency data is conducted. The results shows, similar with other stock markets, Chinese stock market has the transient non-Gaussian behavior and showing super-diffusion. But the characteristics of long-term behavior are more complex in Chinese stock market. It can be found that different stages have significantly different diffusion exponent. A one- dimensional diffusion model performing computer simulations is used to explain what affects the value of diffusion exponent in different stages.
出处
《陕西师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2017年第3期43-48,共6页
Journal of Shaanxi Normal University：Natural Science Edition
基金
国家自然科学基金(11147020
11305098
11675096)
陕西师范大学交叉学科培育计划(5)
关键词
金融物理
统计物理
扩散指数
financial physics
statistical physics
diffusion exponent
