基于成交量的股价序列构造及分形分析

Construction and Fractal Analysis on a Volume-Based Stock Price

构造了一种基于日历交易时间和基于成交量推进的股价转换函数 ,这种方法体现了量价配合和熵的思想 ,并在此基础上 ,通过 R/S分析法对上海股市的部分个股进行研究 .结果表明上海股票市场表现为高度正相关分形时间序列 。

We construct a transfer function between calendar-based stock price an d volume-based stock price in the person of the thinking about entropy and conc ert of volume and price.Afterwards,the behavior of individual stock in Shangha i stock market is discussed depending on R/S analysis and conclusion,which have been obtained above.It indicates that high correlation fractal time series is expressed in Shanghai stock market and there does not exists obvious cycle in a short period.