基于DFA的股价指数自相关分析  

Correlation Analysis in View of DFA the Index of the Stock Price

作　　者：庄新田[1] 黄小原[1] 郑翼舟[1] 

机构地区：[1]东北大学工商管理学院,沈阳110006

出　　处：《东华大学学报（自然科学版）》2001年第3期28-31,共4页Journal of Donghua University(Natural Science)

摘　　要：以股价指数的自相关函数为时间序列,运用非趋势波动分析DFA方法研究我国股票市场的长期相关性。结果表明,上海股票市场和深圳股票市场在跨时间尺度的股价指数之间存在着相关性,呈现为持久性的时间序列,随机游走不再适用股价指数的有偏随机游走是当下投资者对信息反应生成的,由于市场信息不具有同质等量分布,造成交易者对信息理解的差异,信息不能瞬间或及时反映到股票价格中,存在着复杂滞后交易,导致了股价指数的有偏随机游走。This paper takes the volatile displacement of the index of the stock price as the time sequence and research into the correlation over a long period of the China stock market, applying the method of the nontrended fluctuation analysis DFA.The result indicates, that the Shanghai stock market and the Shenzhen stock market possesses correlation between the index of the stock price in stried over the time scales. It expresses the time series of persistence, the stochastic process is not applicable, the slanting stochastic process of the index of the stock price in the stock market is produced by investing man reacting upon the information now. Because the market information does not possess the distribution of identical quality and equivalent quantity, it causes business man to understand the information difference. The information can not reflect in the stock price in the twinkling of an eye and in time. There is the complex and sluggish business. It leads to the slanting stochastic process of the index of the stock price.

关 键 词：股价指数 自相关 标度无关性 证券市场 DFA方法 中国 

分 类 号：F832.5[经济管理—金融学]