中国交易所债券市场分形特征的实证研究

Empirical Study on the Fractal Feature of Chinese Exchange Bond Market

分形是自然系统和社会经济系统中存在的一种非线性现象.对我国金融市场分形特征的现有研究集中于股票市场和外汇市场,本文研究了我国金融市场的另一重要组成部分-交易所债券市场的分形特征.实证结果显示,中国交易所债券市场的价格变动是以分数布朗运动方式进行的,所形成的运动轨迹呈现出典型的特征指数α<2的稳定帕累托分布,分形特征广泛存在于我国交易所债券市场各时间标度下的收益率中.最后提出了从市场的分形特征出发进行风险管理的思路.

Fractal character widely exists in nature and socio-economic system. Existing studies fasten on stock market and foreign exchange market. This paper studies the fractal character of an important part of Chinese financial market, i.e., the exchange bond market. The result displays that China exchange bond market price fluctuation is processed by fractional Brownian Motion, the orbit is Stable Pareto Distribution with α 〈 2 character and fractal character exists in the in-sample different time span returns of exchange bond market. Since fractal models can provide us much information about volatility, we suppose the associated research between fractal and risk management would be significative.