摘要
基于日内周期模式的函数型数据检验方法,是一种新的金融序列稳定性分析方法.本文将该方法扩展为动态检验方法,然后对2014年以来的中国上证股票市场波动的变结构现象进行了研究.结果表明:在中国股票市场剧烈波动时期,单只股票波动的日内周期模式普遍出现变结构和突变现象,且个股之间存在一定的关联性;但同时,市场总体波动的日内周期模式却保持不变,显示出市场波动的内在结构具有稳定性.
Functional data checking by intraday model is a new method of financial sequence stability analysis.The change in structure of China's stock market fluctuation has been studied.In period of wild fluctuations in China's stock market,intraday pattern of single stock fluctuated and variation was common,a certain correlation existed between individual stocks.But intraday pattern of market's general fluctuation stayed the same,showing a stable internal structure of market fluctuations.
作者
李汉东
拓荣玲
LI Handong;TA Rongling(School of Systems Science,Beijing Normal University,100875,Beijing,China;School of Government,Beijing Normal University,106875,Beijing,China)
出处
《北京师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2018年第6期726-732,共7页
Journal of Beijing Normal University(Natural Science)
基金
国家自然科学基金资助项目(71671017)
中央高校基本科研业务费专项基金资助项目(SKZZY2015091)
关键词
函数型数据
中国股市
波动变结构
波动突变
日内周期结构
functional data
Chinese stock market
volatility structure change
volatility point change
intraday volatility pattern
