资本市场中分形市场的分析探讨

An Investigation on Fractal Market in Capital Market

有效市场假说是现行资本市场理论的重要组成部分，该假说认为证券市场中股票价格能及时、准确和充分反映所有相关信息。该假说提出后，众多学者对其进行了广泛的实证检验，结果并不尽如人意。考虑到资本市场高度复杂的特点，一种从研究自然科学发展起来的新方法──分形市场分析应运而生。从分形角度来看，市场是分形的，其研究方法一般可采用Ｒ／Ｓ分析方法。ＥＭＨ仅仅是分形分布族中的一种特殊情形。

EMH is one of the important theories in current capital market. EMH supposes that the stocks' prices in the securities market can reflect all relevant information timely, precisely and completely. With this formulation, many scholars have made wide experimental investigations on the theory. However, the results are not satisfactory. Considering the highly complex property of capital market, a new way- fractal market analysis method has appeared, which stemmed from the research on natural scinece. This paper discusses the fractal market analysis and how it can reflect the capital market. The paper proposes that the market is fractal and R/S analysis method can be used to investigate the market. EMH is only a special phenomenon.