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基于重标极差法(R/S)对金融市场非线性动力学特性的解构

On Nonlinear Dynamic Characteristics for the Financial MarketsBased on Rescaled Range Analysis(R/S)
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摘要 本文从四个方面就R/S分析法及其在金融市场中的应用进行了解构:(1)R/S法的基本要点和具体操作步骤;(2)运用R/S法分析金融市场非线性特性和演化规律的动力学意义;(3)R/S分析法对时间序列具有普适性;(4)提高R/S法有效性的措施。 This paper is composed of four parts in which the/US analysis and its application in the financial markets are examined: (1 )the basic outline of the R/S and its specific steps of operation; (2)the dynamic significance of using/US to analyse the nonlinear characteristics of the financial markets and its evolutionary principle; (3 )the/US universality of analysing variables in time series; (4)the measures that can improve the efficiency of the/US analysis.
出处 《金融论坛》 CSSCI 北大核心 2006年第2期60-63,共4页 Finance Forum
关键词 R/S分析法 金融市场 非线性动力学 rescaled range analysis(R/S) financial markets nonlinear dynamics
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