摘要
仪征化纤股票收益率日数据和周数据的分布特征等方面进行了分析,并对其进行长期记忆检验与周期确定.结果表明这只股票与有效市场假定不相符,它具有自相似性、状态持续性、长期记忆周期等明显的分形特征.
The paper analyses the distribution characteristic of day and week data of the return of Yi Zheng chemical fiber stock, and checks out long memory and cycle. The results show that the stock does not accord with the EMH, which has obvious fractal characteristics, such as self-similarity, state persistence, long-memory cycle and so on.
出处
《数学的实践与认识》
CSCD
北大核心
2007年第16期18-24,共7页
Mathematics in Practice and Theory
关键词
仪征化纤收益率
R/S分析
yi zheng chemical fiber
the return
R/S analysis
