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中国股票市场长期记忆特性研究 被引量:6

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摘要 为了检验中国股票市场长期记忆特性,本文采用了周期图和R/S统计量两种方法进行研究,证实了中国深圳股票市场存在长期记忆性,属于有偏的随机游走。中国股票市场长期记忆特性说明随机游走假说和线性模型不能完全解释股价运行,这要求金融建模时考虑引入非线性模型。
作者 陈炜 吴世农
出处 《当代财经》 CSSCI 北大核心 2003年第6期49-51,共3页 Contemporary Finance and Economics
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