摘要
本文以具体股价指数为例研究股票市场的分形特征,结果发现股票的收益具有长期记忆性、收益分布具有尖峰、细尾等特点,这对预测及管理证券的风险是有极重要的意义的.
In this paper,we analyze the fractal charactetistic of stock market by using the specific stock price. It is found that stock return possesses long memory and the distribution of return emboding the characteristic of peaky and thin tail. It is important for the stock risk of predict and manage in economics.
出处
《数学杂志》
CSCD
北大核心
2005年第5期579-582,共4页
Journal of Mathematics
