| 基于R/S分析的深圳股市非线性特征实证研究 |
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| 引用本文： | 周洪涛,王宗军. 基于R/S分析的深圳股市非线性特征实证研究[J]. 数学的实践与认识, 2006, 36(2): 94-100 |
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| 作者姓名： | 周洪涛 王宗军 |
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| 作者单位： | 华中科技大学管理学院,湖北,武汉,430074 |
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| 摘 要： | 应用HURST指数和R/S分析法对深圳股市进行了非线性特征实证研究,从低频数据到高频数据逐层分析,分别得到它们的H-指数、相关系数、分形维数和非周期循环.进一步,对不同频度数据分别进行对比分析,得到了深圳股市精确的非线性特征.实证结果表明,深圳股票市场存在状态持续性和波动性.
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| 关 键 词： | 有效市场假说 股票收益 随机游走 R/S分析 H-指数 非周期循环 |
| 修稿时间： | 2004-09-29 |
Non-linear Charactersof Capital Market: Empirical Evidence from Shenzhen |
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| ZHOU Hong-tao,WANG Zong-jun. Non-linear Charactersof Capital Market: Empirical Evidence from Shenzhen[J]. Mathematics in Practice and Theory, 2006, 36(2): 94-100 |
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| Authors: | ZHOU Hong-tao WANG Zong-jun |
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| Abstract: | This paper empirically studies the non-linear character of shenzhen stock market by using Hurst index and R/S analysis method,and obtain their Hurst exponent,correlation coefficient,fractal dimension and non-periodic cycle by means of analyzing from low frequency data to high frequency data respectively.Further,we comparatively analysis different frequency data of shenzhen stock market,and obtain its exact non-linear characters.The empirical Evidence indicates that Shenzhen stock market exists state persistence and fluctuation. |
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| Keywords: | efficient market hypothesis(EMH) stock returns random walk R/S method hurst index non-periodic cycle |
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