中国股票交易市场复杂性的实证研究  

An Empirical Study on the Complexity of Chinese Stock Exchange Market

作　　者：沈悦[1] 赵建军[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《经济经纬》2008年第2期152-155,共4页Economic Survey

摘　　要：笔者将分形、混沌等复杂科学理论引入中国股票市场交易的研究。沪深A股市场价格并不呈随机行走状态,收益序列之间存在趋势持续的特性且呈现出低维确定性混沌过程,表现出强烈的复杂性系统特征。实证的结果为中国证券市场中的正反馈行为提供了依据。This paper introduces fractal, chaotic and other complex scientific theories into the study of Chinese stock market. The stock prices in Shanghai and Shenzhen A - share market do not go randomly. The characteristic of trend persistence existing between yield series and the low - dimensional chaotic process is presented. It shows sharp complex system features and the empirical results provide evidence for the positive feedback behavior in Chinese securities market.

关 键 词：复杂性 重标度极差 关联维数 

分 类 号：F830.91[经济管理—金融学]