| 高频金融数据的标度分析 |
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| 引用本文： | 刘群,史晓平,葛春蕾.高频金融数据的标度分析[J].运筹与管理,2006,15(4):127-129. |
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| 作者姓名： | 刘群 史晓平 葛春蕾 |
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| 作者单位： | 1. 安徽国防科技职业学院,安徽,六安,237011
2. 合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 高频金融数据通常具有尖峰厚尾的非正态特征，常用稳定分布来拟合。本文采用稳定分布的性质对高频上证指数收益率的分布作了标度分析，求得特征指数为1．48，说明我们在分析证券指数分布时可以用稳定分布，而非正态分布。
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| 关 键 词： | 高频数据 稳定分布 标度分析 特征指数 |
| 文章编号： | 1007-3221(2006)04-0127-03 |
| 收稿时间： | 04 10 2006 12:00AM |
| 修稿时间： | 2006年4月10日 |
Study of the Scaling of Fluctuations of High Frequency Finance Data |
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| LIU Qun,SHI Xiao-ping,GE Chun-lei.Study of the Scaling of Fluctuations of High Frequency Finance Data[J].Operations Research and Management Science,2006,15(4):127-129. |
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| Authors: | LIU Qun SHI Xiao-ping GE Chun-lei |
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| Institution: | 1. Anhui National Defence Vocational College, Liuan 237011, China ; 2. College of Science, Hefei University of Technology, Hefei 230009, China |
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| Abstract: | High frequency finance data are not normal usually, so that stable distribution is usually used to fit them. We apply the character in the stable distribution to the Shanghai Stocks Exchange Composite index, using the scaling of fluctuations, and gain characteristic index, which is 1.48. This shows that we can use stable distribution instead of non-normal one in analyzing securities index. |
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| Keywords: | high frequency finance data stable distribution scaling characteristic index |
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