基于分形理论的复旦人民币汇率指数的预测分析  

Forecasting Analysis of the Fudan RMB Exchange Rate Indices Based on Fractals

作　　者：康凤华[1] 

机构地区：[1]南京财经大学应用数学学院,江苏南京210046

出　　处：《泰山学院学报》2015年第3期65-69,共5页Journal of Taishan University

基　　金：教育部人文社科规划基金项目(12YJAZH020);南京财经大学研究生创新课题

摘　　要：运用R/S分析法和Hurst指数对复旦人民币实际有效汇率指数的结构特征进行分析,发现市场具有状态持续性和分形分布的特征;同时建立分形插值模型描绘其在一段时间内的变化规律,并预测短期内的指数走势,发现与原数据走势基本一致,且其平均标准误差仅为2.618%.结果表明,运用Hurst指数来估计垂直比例因子和利用分形插值模型预测复旦人民币汇率指数均是可行的.The structural feature of the Fudan RMB exchange rate indices is investigated by using R/S analysis and Hurst indices in this paper. We find out that Fudan RMB exchange rate indices have the persistence of state and statistical properties of fractal distribution. We study the changing law of the Fudan RMB exchange rate indices during a certain time by establishing fractal interpolation model, and predict the changing tendency of the indices in a short time. We point out the forecasting results are almost the same as the original data movements, and the standard error is only 2. 618%. The fact shows that using Hurst indices and fractal interpolation model to calculate the vertical scale factor and predict the Fudan RMB exchange rate indices is feasible.

关 键 词：分形插值 R/S分析 HURST指数 

分 类 号：F832.52[经济管理—金融学]