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股票市场风险的多重分形分析 被引量:30

Multiple Fractal Analysis of Stock Market Risks
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摘要 Financial risk is ascribed to stochastic walk of returns. We find that the returns of stock markets don’t follow stochastic walk, so it is imperfect to measure the risk with variance.The paper analyzes the return series of China stock markets and America stock markets with MF-DFA method. We deduce a conclusion that both of the two markets have character of multifractal. The multifractal character of China stock markets is more salient than the latter. A quantitative measurement of risk is concluded when we combine the multifractal character with factual risk. Financial risk is ascribed to stochastic walk of returns. We find that the returns of stock markets don't follow stochastic walk, so it is imperfect to measure the risk with variance.The paper analyzes the return series of China stock markets and America stock markets with MF-DFA method. We deduce a conclusion that both of the two markets have character of multifractal. The multifractal character of China stock markets is more salient than the latter. A quantitative measurement of risk is concluded when we combine the multifractal character with factual risk.
出处 《统计研究》 CSSCI 北大核心 2004年第9期33-36,共4页 Statistical Research
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