多重分形在日韩汇率市场中的应用  

Application of Multifractal Theory in Japan and South Korea Currency Markets

作　　者：王兴龙[1] 李海霞[1] 

机构地区：[1]安徽新华学院公共课教学部,安徽合肥230088

出　　处：《平顶山学院学报》2017年第2期16-20,共5页Journal of Pingdingshan University

摘　　要：汇率是国际贸易中非常重要的调节杠杆,是反映一国经济稳定程度的指标.在经济全球化的今天,汇率的波动直接影响着一系列金融市场的重大问题,探讨汇率的波动性及相关性对生产生活实际有重要作用.在对多重分形理论及多重分形方法改进和完善的基础上,对国际汇率进行了实证研究,主要内容如下:1)利用多重分形消除趋势交叉波动分析(Multifractal Detrended Cross-Correlation Analysis,简称MF-DCCA)方法对汇率的互相关性进行定量描述,求出多重分形广义的Hurst指数h(q),我们发现h(q)随q的变化而变化,也就是说汇率的相关性是非线性的,呈现多重分形的特性;2)基于滑动窗的方法分别计算单个序列和两个序列之间的普通Hurst指数随时间变化对应值,观察普通Hurst指数随着时间的演化特点,发现JPY/USD与KRW/USD时间序列各自的Hurst指数在0.5附近游走,而JPY/USD-KRW/USD的Hurst指数更多时候大于0.5,这说明两条汇率时间序列的波动具有很强的相关性.Exchange rate is a very important adjustment lever in international trade,and it can reflect the indicators of a country＇s economic stability. In the economic globalization today,exchange rate fluctuations directly affect a series of major issues in the financial markets. It＇s important to discuss on exchange rate volatility and correlation in our life. Based on multifractal theory and methods in this article,we study on international exchange rates. The main content of this article are as follows： 1） Under the condition of crosscorrelation,the exchange rates series are analyzed by the method of multifractal detrended cross-correlation analysis（ MF-DCCA）. By this method,it＇s found that the generalized Hurst exponent h（ q） is depended on variable q. That is to say that the set of the exchange rate series are multifractal form. 2） The Hurst exponent is calculated based on the method of sliding window,and the change of the Hurst exponent is observed as time going on. It＇s found that the series of JPY/USD and KRW/USD are random walk round h = 0. 5 while the Hurst exponent of JPY/USD-KRW/USD is above 0. 5 most of time,which means they are of strong correlation most of time.

关 键 词：汇率 广义HURST指数 MF-DCCA 

分 类 号：O184[理学—数学]