金融市场的多分形特征及与波动率测度的关系  

Multifractal Phenomenon and Volatility Measure

作　　者：王鹏[1] 魏宇[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031

出　　处：《管理工程学报》2009年第4期166-169,共4页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(7050102570771097);教育部"新世纪优秀人才支持计划"基金资助项目(NCET-08-0826)

摘　　要：以上证综指和标准普尔500指数的高频价格数据为样本,运用多分形谱分析(Multifractal spectrumanalysis)方法研究了两种指数价格变化的多分形特征。结果表明:多分形特征存在于这两种指数价格的波动中,多分形语言中蕴含了有关金融资产价格波动的丰富信息。最后初步提出了运用多分形理论所提供的工具来进行波动率研究的思路。Take the high frequency price time series of SSEC and S＆P500 as samples, the multifractal characteristics of the two index price fluctuations is analyzed based on multifractal spectrum analysis. The result show that, multifractal characteristics are existed in the volatility of the two index price and muhifractal language implicate profuse information about volatility measure. Finally, we suppose the associated research between multifractal and volatility study would be significative.

关 键 词：价格波动 多分形语言 波动率测度 

分 类 号：F224[经济管理—国民经济]