标度无关性计算及其在股市波动中的应用  

Scaling Computation and Application in Stock Market Fluctuation Analysis

作　　者：黄小原[1] 庄新田[1] 张泉[1] 

机构地区：[1]东北大学工商管理学院,辽宁沈阳110004

出　　处：《东北大学学报（自然科学版）》2001年第3期335-338,共4页Journal of Northeastern University(Natural Science)

基　　金：辽宁省自然科学基金!资助项目 ( 9910 2 0 0 2 0 8)

摘　　要：标度无关性是广泛存在于自然界系统甚至于经济金融系统可观测量的幂函数关系 ,它揭示了股票市场波动的金融复杂性·在分析股市波动标度无关性及其非趋势波动分析DFA算法基础上进行了应用研究 ,对中国上海、深圳两地股市和东大阿派股价指数进行了标度无关性分析 ,实际计算了这些股指DNA游走位移、均方值和标度无关性指数 。Scaling is found in a wide range of systems from nature to society, of economy and finance, is the power law behavior of a particular observable. Financial complexity is promulgated. On the bases of scaling of stock fluctuation and detrended fluctuation analysis (DFA) the application is researched,the scaling aniorrelation of the index of the Shanghai stock Market,Shenzhen stock Market and Dongdaapai in china,and we analysed practically calculated the DNA walk disptecement,the volatility and scaling ancorrelation of these index. The results show that these stock indexes express the casting character.

关 键 词：金融复杂性 股市波动 标度无关性 DNA 非趋势波动分析 股指持久性 

分 类 号：N94[自然科学总论—系统科学] F830.91[经济管理—金融学]