| 逐段非趋势波动分析方法及我国证券市场的实证研究 |
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| 引用本文： | 黄超,龚惠群,仲伟俊.逐段非趋势波动分析方法及我国证券市场的实证研究[J].运筹与管理,2009,18(6):126-130,145. |
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| 作者姓名： | 黄超 龚惠群 仲伟俊 |
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| 作者单位： | 1. 东南大学经济管理学院,江苏,南京,210096
2. 南京信息工程大学经济管理学院,江苏,南京,210044 |
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| 基金项目： | 中国博士后科学基金资助项目，江苏省博士后科研资助计划项目，江苏省教育厅高校哲学社会科学研究指导项目 |
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| 摘 要： | 为了研究金融时间序列在不同时段波动的持久性特征，本文提出了一种逐段非趋势波动分析方法。该方法首先建立多阶段分割动态规划模型对时间序列进行分割，随后对各子序列逐段进行非趋势波动分析。对我国证券市场的七个主要指数的实证研究结果表明，本文提出的逐段非趋势波动分析方法能够有效揭示股票指数持久性特征随时间变化的现象，也有助于更深入的比较不同指数间持久性特征的相似程度。
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| 关 键 词： | 金融学 标度无关性 非趋势波动分析 动态规划 股票指数 |
Piecewise Detrended Fluctuation Analysis Method and Empirical Study on China Stock Market |
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| HUANG Chao,Gong Hui-qun,ZHONG Wei-jun.Piecewise Detrended Fluctuation Analysis Method and Empirical Study on China Stock Market[J].Operations Research and Management Science,2009,18(6):126-130,145. |
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| Authors: | HUANG Chao Gong Hui-qun ZHONG Wei-jun |
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| Abstract: | In order to study the lasting characteristic of financial time series during different time, Piecewise Detrended Fluctuation Analysis(PDFA) method is proposed. The PDFA method constructs multi-stage segmentation dynamic programming model and divides the time series into multi sub-series firstly, and then makes detrended fluctuation analysis of every sub-series. The empirical study on seven main indexes in China stock market shows the PDFA method can be used to reveal the phenomena that the lasting characteristic of stock index will change with time,and is also useful for us to compare the similarity of lasting characteristic between different indexes. |
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| Keywords: | financial scaling uncorrelation detrended fluctuation analysis dynamic programming stock index |
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