基于分形理论的资本市场非线性研究框架  

The nonlinear study framework of capital market based on fractal theory

作　　者：李红权[1] 马超群[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《财经理论与实践》2004年第5期49-52,共4页The Theory and Practice of Finance and Economics

基　　金：国家社会科学基金 (0 3 0JBY5 6)

摘　　要：基于资本市场的复杂性与非线性特征 ,提出了一个研究资本市场的非线性分析范式。该研究范式主要理论假说有 :有限理性人、分形市场假说与分数布朗运动。它不同于基本有效市场假说的线性分析范式。资本市场的非线性分析框架为研究资本市场提供了一个新的视角。This article presents an integrated nonlinear study framework of capital market based on its significant nonlinear behaviour and complexity. The nonlinear framework is intimately related to the fractal market hypothesis, irrational trader and fractional Brownian motion. This framework differs from the traditional linear point corresponding to the efficient market hypothesis. It's convincing that the innovative framework will give new insight into research on financial market theory.

关 键 词：分形市场 资本市场 非线性 有效市场假说 

分 类 号：F830.9[经济管理—金融学]