Formation Mechanism of the Accumulative Magnification Effect in a Financial Time Series  

作　　者：DUAN Wen-Qi 段文奇(College of Economics and Management,Zhejiang Normal University,Jinhua 321004)

机构地区：[1]College of Economics and Management,Zhejiang Normal University,Jinhua 321004

出　　处：《Chinese Physics Letters》2012年第3期271-274,共4页中国物理快报（英文版）

基　　金：Supported by the Natural Science Foundation of Zhejiang Province under Grant No Y6110018.

摘　　要：Structural information contained in financial time series can be magnified effectively by constructing the accumulative return.In order to make the magnification effects of different financial time series comparative,we first propose a standard method to characterize the strength of the accumulative magnification effect.Then,we employ decomposed-randomized technology to uncover the formation mechanism of the accumulative magnification effect.Our results show that(1)the standard deviation pattern is determined by volatility dependence,(2)the Hurst exponent pattern is induced by sign dependence,(3)an approximate entropy pattern is caused by the combined effect of sign dependence and volatility dependence.

关 键 词：EFFECT STRENGTH PATTERN 

分 类 号：TG1[金属学及工艺—金属学]