This paper takes the Shanghai Security market stock composite index as the research object, analyzes its intrinsic fractal essence characteristics by the application of fractal theory and the method, and computes the ...This paper takes the Shanghai Security market stock composite index as the research object, analyzes its intrinsic fractal essence characteristics by the application of fractal theory and the method, and computes the Hurst index, fractal dimension and correlated function of the highest prices of the complex index. Moreover, it studies characteristics of long term memory of the sample data and its variance along with time; study existence of chaotic attractors in data of the complex index by reconstructing the phase space of the index data. Finally, this paper carries on the related forecast demonstration study to the stock composite index. Results of the study have certain reference function to the actual problem.展开更多
Stock indices were created to accurately reflect changes in the prices of stock exchange securities included in them.Indices are divided into price-weighted and value-weighted indices.In price-weighted indices,each se...Stock indices were created to accurately reflect changes in the prices of stock exchange securities included in them.Indices are divided into price-weighted and value-weighted indices.In price-weighted indices,each security has the same impact on the index,which is the arithmetic mean of the stock values of the companies it comprises.A value-weighted index accounts for changes in the value of shareholdings.By choosing the right composition of share packages,one can change the impact of a given security on the index.Market dynamics also change the composition of the index by removing securities and replacing them with others.The impact on the index grows as the price of a given security increases.Recently,index values have been strongly influenced by new technology companies,which have greatly appreciated during the SARS-CoV-2 pandemic.The aim of this work is to show the changes in two indices in particular:US NASDAQ Composite,and the new competitive SSE STAR index,an index from the Shanghai Stock Exchange.展开更多
文章主要运用Schwarz信息准则(Schwarz information criterion,SIC)对上证综指连涨连跌收益率进行变结构分析,选用1992年5月至2015年5月近6 000个交易日的对数收益率数据,基于信息准则,检验该段时间内连涨和连跌收益率是否发生结构变化...文章主要运用Schwarz信息准则(Schwarz information criterion,SIC)对上证综指连涨连跌收益率进行变结构分析,选用1992年5月至2015年5月近6 000个交易日的对数收益率数据,基于信息准则,检验该段时间内连涨和连跌收益率是否发生结构变化。如果发生结构变化,估计发生结构变化点的个数以及相应的变结构点位置,并探讨发生变结构的背后影响因素,并对连涨连跌收益率的不同变化情况给予解释。展开更多
基金The project is supported by National Natural Science Foundation of China （70271071）, Education department of Tianjin （20041702）
文摘This paper takes the Shanghai Security market stock composite index as the research object, analyzes its intrinsic fractal essence characteristics by the application of fractal theory and the method, and computes the Hurst index, fractal dimension and correlated function of the highest prices of the complex index. Moreover, it studies characteristics of long term memory of the sample data and its variance along with time; study existence of chaotic attractors in data of the complex index by reconstructing the phase space of the index data. Finally, this paper carries on the related forecast demonstration study to the stock composite index. Results of the study have certain reference function to the actual problem.
文摘Stock indices were created to accurately reflect changes in the prices of stock exchange securities included in them.Indices are divided into price-weighted and value-weighted indices.In price-weighted indices,each security has the same impact on the index,which is the arithmetic mean of the stock values of the companies it comprises.A value-weighted index accounts for changes in the value of shareholdings.By choosing the right composition of share packages,one can change the impact of a given security on the index.Market dynamics also change the composition of the index by removing securities and replacing them with others.The impact on the index grows as the price of a given security increases.Recently,index values have been strongly influenced by new technology companies,which have greatly appreciated during the SARS-CoV-2 pandemic.The aim of this work is to show the changes in two indices in particular:US NASDAQ Composite,and the new competitive SSE STAR index,an index from the Shanghai Stock Exchange.
文摘文章主要运用Schwarz信息准则(Schwarz information criterion,SIC)对上证综指连涨连跌收益率进行变结构分析,选用1992年5月至2015年5月近6 000个交易日的对数收益率数据,基于信息准则,检验该段时间内连涨和连跌收益率是否发生结构变化。如果发生结构变化,估计发生结构变化点的个数以及相应的变结构点位置,并探讨发生变结构的背后影响因素,并对连涨连跌收益率的不同变化情况给予解释。
