| 中国股市行业指数及个股长程记忆研究 |
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| 引用本文： | 范志远.中国股市行业指数及个股长程记忆研究[J].衡阳师范学院学报,2010,31(6). |
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| 作者姓名： | 范志远 |
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| 作者单位： | 湖南交通工程职业技术学院; |
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| 摘 要： | 股票市场收益记忆特征对于非线性结构的确定以及市场有效性的研究具有重要意义.该文选取沪深股市的三只行业指数和隆平高科及大江股份的日、周收益率时间序列,通过R/S分析方法分别计算出其相应Hurst指数.结果表明收益率时间序列具有长程记忆特征,且存在一个大周期和一个小周期,也验证了收益率时间序列不符合布朗运动.这对风险管理及投资时机的选择有一定的指导作用.
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| 关 键 词： | R/S分析 Hurst指数 长程记忆特征 分形时间序列 |
On Chinese Stock Market Industrial Indices and Long-term Memory of Single Stock |
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| FAN Zhi-yuan.On Chinese Stock Market Industrial Indices and Long-term Memory of Single Stock[J].journal of Hengyang Normal University,2010,31(6). |
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| Authors: | FAN Zhi-yuan |
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| Institution: | FAN Zhi-yuan(Hunan Technical College of Communications & Engineering,Hengyang Hunan 410128,China) |
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| Abstract: | Memory characteristics of the stock market gains are of great significance for determining the non-linear structure and studying the effectiveness of market.In this paper,we selected the yield-week time series and yield-day time series of three industrial indices and two agricultural stocks in Shanghai and Shenzhen stock market,and we calculated their Hurst exponent by R/S analysis methods.The results shows that yield time series have long-term memory characteristics,and there are a big cycle and a small cy... |
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| Keywords: | R/S analysis Hurst exponent long-term memory fractional time series |
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