摘要
应用MF-DFA方法对上海综合指数收益率和深圳成分指数收益率进行多重分形分析.结果表明:上证综指收益率和深成指收益率均具有多重分形特征,均存在长程相关性和胖尾分布;深成指收益率序列的相关性程度高于上证综指收益率序列的相关性程度,从而上证综指收益率的波动性大于深成指收益率的波动性.
This paper researches multifractality of Shanghai synthesis index returns and Shenzhen composition index returns by use of MF-DFA. The results show both Shanghai synthesis index returns and Shenzhen composition index returns have multifractality, present long-rang correlation and fat trail distribution; Shenzhen composition index returns has stronger correlation than Shanghai synthesis index, thus the fluctuation of Shanghai synthesis index is bigger than that of Shenzhen composition index returns.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2004年第6期50-54,143,共6页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70171054)