摘要
对股票市场进行定量研究 ,前提是对于股票市场收益序列的各种分布特征进行准确的刻画 ,这是分析资本资产定价、金融风险防范等问题的基础 ,而股市收益序列往往表现出丰富、复杂的特性。运用标度函数和多标度分形频谱等方法对股市收益序列的真实特性进行研究 ,通过构建资产收益率多标度分形模型 。
To carry on quantitative research on astock market, the prerequisite is to carry on accurate portrayal to various kinds of distribution characteristics of the income array of the stock market. This is the foundation to analyze capital asset pricing model and to keep away financial risks. The income array of a stock market often demonstrates abundant, complicated distribution characteristics.Scaling function and multifractal spectrum methods are applied in Shenzhen Stock market to verify the reality of the income array of the stock market. By modeling the multifractality of asset returns for the market, the multifractal properties of the Shenzhen Stock Marketare exposed.
出处
《财经理论与实践》
CSSCI
北大核心
2005年第1期53-55,共3页
The Theory and Practice of Finance and Economics
基金
教育部高校青年教师奖励基金项目
国家自然科学基金资助项目 (70 14 2 0 15 )
关键词
MMAR
标度函数
分割函数
多标度频谱
MMAR
scaling function
partition function
multifractal spectrum
