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重分式Poisson过程——一个新的股票价格运动模型 被引量：1

Multifractional Poisson Process——A New Model of Stock Price Movements
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摘要 给出重分式Poisson过程WHt (t)的定义及基本性质,发现 WHt (t)具有重分形特征及长期依赖性、尖峰、胖尾等特征,从而可以用WHt (t)拟合股票收益的变化.在不同标度下,某些股票的绝对收益率具有长期依赖性及重分形特性.这表明中国证卷市场具有非线性特征,市场并非是完全有效的. We give the definition of multifractional Poisson process W_(_t)(t) and its basic properties.We found that W_(H_t)(t) has the properties of long-range dependence,high peak,fat tail,and so on.So we can simulate the changes of returns of stocks by W_(H_t)(t).We also found that in different terms,some absolute returns have the properties of long-range dependence and multifractal.These show that the market is not linear in China,and the market is not always efficient.
作者 范申 王晓天 文志雄
机构地区 武汉大学基础与应用数学基地
出处 《武汉大学学报（理学版）》 CAS CSCD 北大核心 2005年第1期15-19,共5页 Journal of Wuhan University:Natural Science Edition
基金 国家重点基础研究计划特别基金资助项目
关键词 长期依赖性 分形 R/S分析 POISSON过程 long-range dependence fractal R/S analysis Poisson process
分类号 O29 [理学—应用数学] F830.91 [经济管理—金融学]
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参考文献10

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二级参考文献46

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共引文献24

同被引文献16

  • 1翟爱梅,王雪峰,冯英浚.股票价格的塑性理论模型[J].哈尔滨工业大学学报,2005,37(9):1277-1279. 被引量：8
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武汉大学学报（理学版）
2005年 第1期

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