摘要
长期以来 ,有效市场理论在金融市场研究中占主导地位 ,但随着金融市场定量建模与计算技术的飞速发展 ,这一传统理论面临着越来越多的困难 ,分形市场分析成为解决这些困难的前沿研究理论之一 .文中分析了分形市场理论在市场预测中的优点 ,通过汇率波动的奇异吸引子测定和R/S分析说明分形市场分析在预测中的有效性 。
The advantages of fractal market analysis applied to exchange rate fluctuation are introduced. The calculation of the chaotic attractor and R/S analysis prove that fractal market analysis applied to exchange rate fluctuation is useful. At last, ARFIMA model and stable distribution parameters in practical application are used to exchange rate fluctuation forecasting.
出处
《昆明理工大学学报（理工版）》
2004年第3期123-127,共5页
Journal of Kunming University of Science and Technology(Natural Science Edition)
关键词
分形市场
汇率波动
ARFIMA模型
fractal market analysis
exchange rate fluctuation
ARFIMA model
