|
OALib Journal期刊
ISSN: 2333-9721
费用：99美元
|
|
|
|
基于dfa的我国股票市场标度特性研究
, PP. 48-53
Keywords: 经济物理学,股票市场,标度特性,持久性,标度指数,消除趋势波动分析法(dfa)
Abstract:
将消除趋势波动分析法(dfa)应用于我国沪深两市不同时间标度收盘指数的对数收益率序列,全面分析了我国股市的标度特性.发现标度指数随着考察时间的长短,即数据个数的不同而不同,但从长期来看,两市波动都存在持久性特征,而且收益率的绝对值序列和平方值序列的持久性更明显;在相同时间范围内,不同时间标度序列的标度指数相差不大,存在标度不变性;小标度时间序列存在多重分形特征.这些结果说明我国股票市场存在复杂的非线性动力学特性.
| [1] | [法]简!菲利普!鲍查德,[比]马克!波特.金融风险理论从统计物理到风险管理[m].周为群,译.北京:经济科学出版社,2002.
|
| [2] | hodingshun,leechungkung,wangchengca,ieta.lscalingcharacteristicsinthetaiwanstockmarket[j].physicaa,2004(332):448-460.
|
| [3] | plerouvasilik,igopikrishnanp,rosenowbernd,eta.leconophysics:financialtimeseriesfromastatisticalphysicspoint
|
| [4] | ofview[j].physicaa,2000(279):443-456.
|
| [5] | plerouvasilik,igopikrishnanp,rosenowbernd,eta.lrandommatrixapproachtocrosscorrelationsinfinancialdata[j].physicalreviewe,2002,65(6):066126-1-066126-18.
|
| [6] | liuyanhu,icizeaupireer,meyermartin,eta.lcorrelationsineconomictimeseries[j].physicaa,1997(245):437-440.
|
| [7] | kullmannl,toylij,kerteszj,etal.characteristictimesinstockmarketindices[j].physicaa,1999(269):98-110.
|
| [8] | mantegnarn,stanleyhe.scalingbehaviorinthedynamicsofaneconomicindex[j].nature,1995,376(6):46-49.
|
| [9] | sunxia,chenhuiping,wuziqin,eta.lmultifractalanalysisofhangsengindexinhongkongstockmarket[j].physicaa,2001(291):553-562.
|
| [10] | rogeriolcosta,vasconcelosgl.long-rangecorrelationsandnonstationarityinthebrazilianstockmarket[j].physica
|
| [11] | 胡雪明,宋学峰,王新宇.沪深股市的dfa实证分析[j].中国矿业大学学报,2003,32(5):583-586.
|
| [12] | plerouvasilik,igopikrishnanp,nunesamaralla,eta.lscalingofthedistributionofpricefluctuationsofindividualcompanies[j].physicalreviewe,1999,60(6):6519-6529.
|
| [13] | gopikrishnanparamesraran,plerouvasilik,igabaixxavier,eta.lstatisticalpropertiesofsharevolumetradedinfinancialmarkets[j].physicalreviewe,2000,62(4):r4493-r4496.
|
| [14] | stanleyhe,gopikrishnanp,plerouv,eta.lquantifyingfluctuationsineconomicsystemsbyadaptingmethodsofstatisticalphysics[j].physicaa,2000(287):339-361.
|
| [15] | dragulescuadriana,yakovenkovictorm.probabilitydistributionofreturnsinthehestonmodelwithstochasticvolatility
|
| [16] | [j].quantitativefinance,2002,2:443-453.
|
| [17] | sornettedidier,johansenanders.largefinancialcrashes[j].physicaa,1997(245):411-422.
|
| [18] | 卡里尔!伊林斯基(kirillllinski).金融物理学[m].殷剑峰,李彦,译.北京:机械工业出版社,2003.
|
| [19] | johannesaskjeltorp.scalinginthenorwegianstockmarket[j].physicaa,2000(283):486-528.
|
| [20] | pilargrau-carles.empiricalevidenceoflong-rangecorrelationsinstockreturns[j].physicaa,2000(287):396-404.
|
| [21] | a,2003(329):231-248.
|
| [22] | galluccios,caldarellig,marsilim,eta.lscalingincurrencyexchange[j].physicaa,1997(245):423-436.
|
| [23] | ausloosm.statisticalphysicsinforeignexchangecurrencyandstockmarkets[j].physicaa,2000(285):48-65.
|
| [24] | muniandysv,limsc,muruganr.inhomogeneousscalingbehaviorsinmalaysianforeigncurrencyexchangerates[j].
|
| [25] | physicaa,2001(301):407-428.
|
| [26] | pengck,buldyrevsv,harlins,eta.lmosaicorganizationofdnanucleotides[j].physicalreviewe,1994,49(2):1685-1689.
|
| [27] | kantelhardtjanw,evakoscielny-bunde,regohenioha,eta.ldetectinglong-rangecorrelationswithdetrendedfluctuationanalysis[j].physicaa,2001(295):441-454.
|
Full-Text
|
|
Contact Us
service@oalib.com QQ:3279437679 
WhatsApp +8615387084133
|
|
