我国股票市场的分形特征研究

China stock market's fractal feature research

本文通过对上证综合指数,沪深300指数进行研究,发现上证综合指数和沪深300指数的收益率具有尖峰、厚尾的特点,不符合正态分布的特征。同时,上证综合指数和沪深300指数的日、周收益率呈现明显的分形特征,其分形维在1-1.5之间,并且具有明显的自相似性。这些结论证明了我国股票市场具有明显的分形特征。

In this paper,we studied the normal distribution of Shanghai Index and Hushen 300 Index and found that the rate of return of the two indexes are not followed the normal distribution.In the mean time,we used fractal theory to analyze the fractal characteristics of these indexes.It turns out the rates of return of Shanghai Index and Hushen 300 Index followed the fractal distribution and they have self-similarity.These conclusions proved that the stock market of our country has a fractal characteristic.