基于多重分形参量Cq的股票市场分析

Stock Market Analysis Based on Parameter Cq of Multifractal

对沪深300整体指数及其中相关行业的股票进行多重分形分析,发现股票市场具有多重分形性。其中金融业、运输业、电气业的股票指数波动较小,钢铁业、煤炭业和地产业的股票指数波动较大,土木建筑业、医药业的股票指数波动处于中间位置。分析参量Cq的图像发现每一支股票都有自身的临界点,并且在由Cq构成的三维图像中代表同一行业股票的点比较集中,形成一个簇,从该图中可以看出整个大盘指数与钢铁业、煤炭业和地产业的联系比较紧密。

Based on the multifractal analysis of the Shanghai and Shenzhen 300 index and stocks related industries, found the stock market has multifractal nature. Financial sector, transportation, electrical industry have smaller stock index volatility, steel industry, coal industry and real estate have larger stock index volatility, civil construction, pharmaceutical industry in the middle of stock index volatility. By analyzing the parameter Cq find that each stock has its own critical point, and in three-dimensional images constituted by Cq to represent shares of point in the same industry are concentrated, forming a cluster. From the figure can see that the relationship between the whole market index and steel industry, coal industry, real estate sectors are more closely.