分形市场假说与股票市场的有效性分析

Fractal Market Analysis and Stock Market's Efficiency

主流的金融计量理论是以价格的随机游走和收益的正态分布假设为基础的。而分形市场研究认为价格是分形,价格遵循有偏随机游走,并用分形分布描述收益的分布规律。在分形研究的框架下,作为主流有效市场假说的替代理论,分形市场假说用不同投资期水平下的投资者对信息的不同评估来解释价格行为的分形机制,也启发我们从动态的和相对的角度去思考股票市场的有效性问题。

The main-stream finance theories are based on the assumptions of random walk and normal distribution, and fractal market analyses believe that stock price series whose returns can be described by fractal distribution have fractal structure and follow the law of fractional Brownian motion. Within the regime of fractal market researches, fractal market hypothesis, where investors of different investment horizons value information differently, was brought forward as a substitution of Efficient Market Hypothesis to explain the fractal mechanism of stock price behavior. Thus we can ponder the theme of stock＇s efficiency from the point of relative and dynamic movement of stock price behavior.