摘要
本文通过对恒生指数和上证指数历史数据的处理,给出HURST维数的R/S估计,进而研究两个股票指数的相似性.结果显示97～98香港证券市场和2001年后中国内地证券市场有着很强的统计相似性.
In this paper, we get the R/S estimations of HURST dimension through computing the historical data of Hang Seng Index and Shanghai Index, and study the similarity of two indexes. We conclude that securities market of Hong Kong during 1997-1998 and securities market of China's Mainland after 2001 have strong statistical similarity.
出处
《运筹与管理》
CSCD
2006年第5期116-121,共6页
Operations Research and Management Science
基金
国家自然科学基金资金项目(10201029)
