上证综指分形特征研究

Fractal Characteristics Analysis On Synthetic Security Index of Shanghai

本文阐述了分形市场理论的基本思想和主要特征,运用重标极差(R/S)方法论对上证综指时间序列进行分形诊断,得出如下结论:①我国证券市场存在非周期循环,上证综指四种非周期循环的平均长度分别为858天、353天、246天和65天。②上证综指长周期Hurst指数值为0.561,市场具有“记忆”功能,信息对市场的影响具有持续性。③和西方市场相比,上证综指Hurst指数值较低,从而说明我国证券市场效率相对较低。

This paper expounds the basic ideas of Fractal Market Hypothesis,and applies it to investment field. The paper adopts the synthetic security index of Shanghai as the research object ,and uses the method of the Rescald range analysis to diagnose fractal characteristics of our securities market. In the end,writer arrives at the following conclusions：①There are four kinds of non-period cycle in the synthetic security index of Shanghai. The average length of them is separately 858 days ,353days ,246days ,65days. ②The Hurst exponent of long-period cycle of Shanghai security synthetic index is 0. 561. That means securities market owns memory capability because of the continuity of information effectiveness, ③Compared with west securities market, the lower Hurst exponent of Shanghai synthetic security index indecates the lower efficiency of our capital market.