摘要
Hurst指数是一个在混沌和分形数学中判断时间序列混沌性和成群性的统计参数。根据实际测定的上证指数逐日收益率的Hurst指数,表明证券市场具有分形市场假说(FMH)的特征。Hurst指数在证券投资中有一定的参考价值,对长期的投资决策可以发生影响。
Hurst exponent can be used to testify the chaotic and grouping characters of time series.This exponent of the return rate for a real stock market is calculated and it is found that this market was FMH. Hurst exponent is valuable in the investment in stockmarket
出处
《西北农林科技大学学报（社会科学版）》
2004年第5期92-95,共4页
Journal of Northwest A&F University(Social Science Edition)
