摘要
简要介绍有效市场理论的局限性及其与分形市场理论的关系,并指出有效市场理论是资本资产定价模型的基础。在分形市场中单个资产收益与市场收益之间的线性关系很难成立。针对于此,提出运用非线性协整理论进行分形市场中的资本资产定价,并给出运用小波神经网络进行非线性协整建模的方法。最后给出上海股市的实证研究。
The paper discusses the limitations of Efficient Market Theory(EMT) and its differences with Fractal Market Theory(FMT), and poins out that EMT is the foundation of CAPM. The correlation between return of single asset and that of market portfolio is not exactly linear in fractal market. We use nonlinear cointegration theory to price the capital asset in fractal market, and give out the method for nonlinear cointegration modeling using wavelet neural network. In the end, the modeling analysis of Shanghai stock market validates the theory and pricing method presented above.
出处
《系统工程理论方法应用》
2004年第2期123-126,共4页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金资助项目(70171001)
