随机分形与金融波动的市场机制  

Random Fractal and Market Mechanism of Financial Volatility

作　　者：樊智[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程》2003年第1期38-42,共5页Systems Engineering

基　　金：国家自然科学基金资助项目 ( 70 1710 0 1)

摘　　要：简要回顾有效市场理论并指出其缺陷 ,将随机分形和分数布朗运动引入金融波动的研究中 ,阐述随机分形市场的经济涵义和波动机制。指出金融波动的异方差性 ,将分数维时间序列建模和异方差建模相结合 ,提出 ARFIMA- GARCH模型 ,并给出实证研究。This paper firstly reviews the Efficient Market Theory and points out its limitations, and applies random fractal and fractional Brownian motion to the research financial market volatility. Then we expatiate on the economic meaning and volatility mechanism of random fractal market, and describe the heteroscedasticity characteristic of financial volatility. By combining the fractional dimension time series and heteroscedasticity models, we bring forward the ARFIMA-GARCH model and present the real data demonstration using this model.

关 键 词：随机分形 金融波动 市场机制 异方差 ARFIMA-GARCH 

分 类 号：F830.9[经济管理—金融学]