金融市场的多分形特征及与波动率测度的关系被引量：8

Multifractal Phenomenon and Volatility Measure

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摘要以上证综指和标准普尔500指数的高频价格数据为样本,运用多分形谱分析(Multifractal spectrumanalysis)方法研究了两种指数价格变化的多分形特征。结果表明:多分形特征存在于这两种指数价格的波动中,多分形语言中蕴含了有关金融资产价格波动的丰富信息。最后初步提出了运用多分形理论所提供的工具来进行波动率研究的思路。 Take the high frequency price time series of SSEC and S＆P500 as samples, the multifractal characteristics of the two index price fluctuations is analyzed based on multifractal spectrum analysis. The result show that, multifractal characteristics are existed in the volatility of the two index price and muhifractal language implicate profuse information about volatility measure. Finally, we suppose the associated research between multifractal and volatility study would be significative.

作者王鹏魏宇

机构地区西南交通大学经济管理学院

出处《管理工程学报》 CSSCI 北大核心 2009年第4期166-169,共4页 Journal of Industrial Engineering and Engineering Management

基金国家自然科学基金资助项目(7050102570771097) 教育部"新世纪优秀人才支持计划"基金资助项目(NCET-08-0826)

关键词价格波动多分形语言波动率测度 volatility of price multifractal language volatility measure

分类号 F224 [经济管理—国民经济]

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参考文献11

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