安徽省上市公司股票分形特征研究

Research in Fractal Characteristics of Anhui-based Listed Company Stocks

安徽省上市公司股票的非线性特征的定量检验表明,安徽省上市公司的股票收益率不服从正态分布,股票市场不属于有效市场。运用R/S分析方法可以看出,安徽省上市公司股票收益率呈现尖峰胖尾态势,且具有持续性,存在长期记忆的分形特征。

The qualititative research in non-linearity of Anhui-based listed company stocks shows that the stock returns of such companies do not follow a normal distribution, which suggests that the corresponding stock markets are not efficient. The R/S analysis reveals that the stock returns presents a lasting giguille and fat-tail distribution and a long-term memory of fraetals.