摘要
金融市场是一个典型的复杂系统,而复杂系统在物理学中已被广泛研究。我们首次有机会获得中国大陆金融市场的上海证券指数若干年内的高频(10秒间隔)数据。本文对1999年全年的上证指数进行了统计分析,发现收益率符合L啨vy稳定分布,而非传统经济学主张的正态分布。对上证指数的时间相关性的研究表明,上证指数的波动率在很长的时间尺度上是相关的。这将有助于在新的框架下建立新的经济学模型。
Financial market is a typical sort of complex systems,which has been widely studied in physics.We,for the first time,have access to the high resolution 10second interval data of the Index of Shanghai Stock Exchange.We make statistical analyses of the Shanghai Index of 1999,and find that the return can be described by Lévy stable distribution,but not the Gaussian one in traditional economics.The research on the temporal correlation for the Shanghai Index indicates that fluctuations of the Shanghai Index autocorrelate when considered for a great length of time.These help construct new economic models within the new frame.
出处
《运筹与管理》
CSCD
2003年第4期85-90,共6页
Operations Research and Management Science
