R/S分析的理论基础:分数布朗运动

Theoretical Basis of R/S Analysis: Fractional Brownian Motion

探讨了R/S分析方法的理论基础.指出稳定的Levy分布作为R/S分析的理论基础有重大缺陷,分析了分数布朗运动与R/S分析在含义和逻辑上的紧密联系,提出了分数布朗运动是R/S分析的理论基础的观点.最后,对我国上海股票市场进行了实证分析,其检验结果证实了本文提出的观点.

This paper discusses the theoretical basis of R/S analysis profoundly. There is great mistake to take the stable levy distribution as the basis of R/S analysis. However, Fractional Brownian Motion (FBM) and R/S analysis have close relationship not only on implications but also on logic. Therefore, we can view the FBM as the basis of R/S analysis. Finally, we propose an empirical study on Shanghai stock market in China. The results of the empirical tests support our viewpoints.