股市分形投资策略及其有效性研究  

Research on Fractal Investment Strategy of Stock Market and Its Effectiveness

作　　者：许林[1] 吴晨阳 乔宇 XU Lin;WU Chen-yang;QIAO Yu(School of Economics and Commerce,South China University of Technology Guangzhou,Shanghai Stock Exchange)

机构地区：[1]华南理工大学经济与贸易学院金融系,广东510006 [2]华南理工大学经济与贸易学院,广东510006 [3]上海证券交易所,上海200120

出　　处：《当代金融研究》2020年第3期62-70,共9页Journal of Contemporary Financial Research

基　　金：教育部人文社科青年基金项目(19YJC790163);广东省自然科学基金项目(2018A030310370);广州市哲学社科规划羊城青年学人课题(2020GZQN13);华南理工大学中央高校基本科研业务费资助(x2jmD2181970)。

摘　　要：证券市场的分形现象已得到国内外大量文献证实。本文运用经典R/S、修正R/S、V/S和修正V/S分析法,引入并行计算的原理来简化数据计算,对我国上证综指、深证成指和贵州茅台股价序列的分形特征进行检验并予以比较。结果发现:上述四种分析法均能得出上证综指、深证成指和贵州茅台股价序列存在一定程度的持续性分形特征的结论;V/S分形策略和修正V/S分形策略的投资效果与基准投资策略相比均是有效的,而经典R/S分形策略在股价处于稳定上升行情时才能获得较好的投资收益。因此,修正V/S分形策略相比其它三种分形策略能够获得更稳定的投资收益。This paper considers the realistic background of the incomplete and effective stock market in China,introduces the classic R/S,modified R/S and V/S analysis methods,and corrects the V/S analysis method,and simplifies the data calculation by introducing the principle of parallel computing.Time The fractal characteristics of China’s Shanghai Composite Index,Shenzhen Stock Exchange and Guizhou Maotai stock price series were tested.The results show that these four analysis methods can obtain a certain degree of persistent fractal characteristics for the Shanghai Composite Index,Shenzhen Stock Exchange Index and Guizhou Moutai stock price series analysis.Then,using these four analysis methods,the fractal investment strategy is constructed respectively.Through the investment results of Guizhou Maotai Stock and Shanghai and Shenzhen 300 Index,it is found that the investment effect of V/S fractal strategy and modified V/S fractal strategy is compared with the benchmark investment strategy.The classic R/S fractal strategy can obtain better investment returns when the stock price is in a stable rising stage.In general,the modified V/S fractal investment strategy can be more stable than the other three fractal investment strategies.

关 键 词：经典R/S法 修正R/S法 V/S法 修正V/S法 分形投资策略 

分 类 号：F830.91[经济管理—金融学]