摘要
利用2005年1月4日至2015年10月14日期间的我国股票市场上海证券综合收盘价格指数和交易量的日度数据,采用MF-DFA和MF-DXA方法实证研究了我国股票市场价格、交易量以及股票价格与交易量关系的多重分形特征以及量价关系的多重分形特征的来源.从中可知,股票价格、股票交易量以及股票价格与交易量的关系都存在多重分形特征,股票价格与交易量多重分形的主要原因是长期记忆性特征和厚尾分布.
Using Shanghai Securities comprehensive closing price index and trading volume of China＇s stock market daily data between January 4, 2005 and October 14, 2015, the paper adopts the MF-DFA and MF-DXA respectively on multifractal characteristics of stock market price, trading volume and the relationship between trading and price as well as the source of the mulfifractal characteristics of the relationship between volume and price for empirical research. The empirical results show that stock market price, trading volume and the relationship between trading volume and price all exist in the multifractal characteristics in China＇s stock market, and long memory characteristic and heavy tailed distribution is main causes of price volume relation multifractal.
出处
《湖南理工学院学报（自然科学版）》
CAS
2017年第1期11-16,共6页
Journal of Hunan Institute of Science and Technology(Natural Sciences)
