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基于R/S分析的人民币外汇市场分形特征实证研究 被引量：13

Empirical Research on Fractal Characteristics Based on R/S Analysis in RMB Foreign Exchange Market
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摘要 针对人民币汇率时间序列的特征问题,提出了基于R/S分析的赫斯特(Hurst)指数作为测算判据的方法。选取样本区间为2005年7月21日至2007年12月31日,人民币对美元、欧元和日元的日汇率中间价数据为研究对象,样本数目共计为598个,进行了实证研究。实证结果为人民币对美元、欧元和日元汇率的赫斯特指数分别为0.64、0.61和0.62,关联尺度分别为1.42、1.34和1.37;表明人民币外汇市场具有明显的分形结构,三种汇率都有关联性,并表现出状态持续性。这弥补了有效市场理论的不足,并将对相关决策者有着参考作用。 By probing the characteristic of time series of RMB exchange rate,this paper proposes a method of fractal characteristics which is based on R/S analysis and makes an empirical research on RMB foreign exchange market by using daily exchange rate of RMB/USD,RMB/EUR and RMB/JPY.The data samples total 598,which come from July 21,2005 to December 31,2007.The results show that Hurst index of RMB/USD,RMB/EUR and RMB/JPY is close to 0.64,0.61 and 0.62 respectively and the correlative scale is close to 1.42,1.34 and...
作者 黄飞雪 赵岩
机构地区 大连理工大学经济系
出处 《哈尔滨工业大学学报（社会科学版）》 2008年第6期66-71,共6页 Journal of Harbin Institute of Technology(Social Sciences Edition)
基金 辽宁省社会科学规划基金(L07DJY065) 大连理工大学人文社会科学研究基金资助(DUTHS2007321) 大连理工大学2008年度"软件+X"交叉学科建设专项资助
关键词 人民币汇率 分形结构 R/S分析 赫斯特指数 RMB exchange rate fractal structure R/S analysis Hurst index
分类号 F83 [经济管理—金融学]
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参考文献15

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二级参考文献23

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共引文献125

同被引文献95

引证文献13

二级引证文献44

哈尔滨工业大学学报（社会科学版）
2008年 第6期

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