股票市场风险的多重分形分析  

Multiple Fractal Analysis of Stock Market Risks

作　　者：施锡铨[1] 艾克凤[2] 

机构地区：[1]上海财经大学金融学院 [2]海理工大学理学院

出　　处：《统计研究》2004年第9期33-36,共4页Statistical Research

摘　　要：Financial risk is ascribed to stochastic walk of returns. We find that the returns of stock markets don’t follow stochastic walk, so it is imperfect to measure the risk with variance.The paper analyzes the return series of China stock markets and America stock markets with MF-DFA method. We deduce a conclusion that both of the two markets have character of multifractal. The multifractal character of China stock markets is more salient than the latter. A quantitative measurement of risk is concluded when we combine the multifractal character with factual risk.Financial risk is ascribed to stochastic walk of returns. We find that the returns of stock markets don't follow stochastic walk, so it is imperfect to measure the risk with variance.The paper analyzes the return series of China stock markets and America stock markets with MF-DFA method. We deduce a conclusion that both of the two markets have character of multifractal. The multifractal character of China stock markets is more salient than the latter. A quantitative measurement of risk is concluded when we combine the multifractal character with factual risk.

关 键 词：股票市场 风险 多重分形分析 随机游动 广义HURST指数 

分 类 号：F830.91[经济管理—金融学]