动态Hurst指数对股票价格(指数)趋势的判断  

Trend Prediction for Stock Price Using Dynamic Hurst Index

作　　者：赵仕军[1] 徐丙振[1] 

机构地区：[1]宁波大学理学院,浙江宁波315211

出　　处：《宁波大学学报（理工版）》2011年第4期79-82,共4页Journal of Ningbo University：Natural Science and Engineering Edition

摘　　要：采用长时间、大周期统计Hurst指数,进而计算出动态Hurst指数,从而判断实际股票市场的股票指数的趋势以及动态Hurst指数的适应范围,认为动态Hurst指数在证券投资中有一定的参考价值,可以对股票价格或指数的长时趋势进行预测.Hurst Index is defined in fractal chaos theory and time series to determine groups of statistical parameters, which has been applied in marketing process. In this paper, we calculate the Hurst index based on the data collected from the real stock market price. Upon certain conditions, stock price movement does not fit the Brownian motion model, indicating the invalidity of the given stock market. The presented method is aimed to calculate the statistics for long-time Hurst index of a large cycle so as to calculate the＇dynamic Hurst index.

关 键 词：有效性市场 R/S分析 动态Hurst指数 时间周期 随机运动 

分 类 号：O411.1[理学—理论物理] F035.4[理学—物理]