上海股市价格行为的噪声色彩

The Noise Color of the Price Behavior of Shanghai Stock Market

运用R/S分析方法,通过分析分形布朗运动的分形噪声及其与Hurst指数H值之间的对应关系,实证检验了上海股市价格行为中存在的噪声色彩。结果表明,上海股市的价格变化和易变性变化分别呈现出明显的黑噪声和粉红噪声特征,这为理解我国股市的价格行为提供了一种可能。

In this paper, using R/S analysis method, through fractal noise that describes fractional Brownian motion and the relationship between fractal noise and H value of Hurst exponent, the noise color of price behavior of Shanghai stock market is tested empirically. The result manifests that the change of the price and the volatility of Shanghai stock market shows distinct black noise and pink noise respectively. This characteristics supply a way to understand the price behavior of the stock market of our country.