基于EMD的中国股票市场分形特征研究

Fractal Charateristics of China's Stock Market Based on EMD Method

为揭示我国股票市场的分形特征,利用经验模态分解及重标极差分析法(R/S:Rescaled Range Analysis)探究中国股票市场的特征,利用经验模态分解方法对沪深300指数的收盘价格对数收益率进行分析,并采用分形理论中的R/S分析法对固有模态函数进行实证研究,以揭示我国股票市场的分形特征。实验结果表明,我国股票市场具有显著的自相似性,分解后的收益率序列是有偏的随机游走过程。

Fractal structure features of China＇s stock market by EMD （Empirical Mode Decomposition ） and（R/S： Rescaled Range Analysis） analysis method is explored. It is analyzed that the CSI 300 index closing pricelogarithmic return rate by using empirical mode decomposition method, using R/S analysis of fractal theory to researchempirical mode function to reveal the fractal characters of Chinese stock market, the final result shows that Chinesestock market has obvious self-similarity, the yield of the decomposed sequences is biased random walk process.