[1]都国雄,等.基于DFA的我国股票市场标度特性研究[J].南京师大学报(自然科学版),2007,30(03):48-53.
　Du Guoxiong,Ning Xuanxi,Hu Yongsheng.Researches on Scaling Properties of Chinese Stock Markets With DFA[J].Journal of Nanjing Normal University(Natural Science Edition),2007,30(03):48-53.
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基于DFA的我国股票市场标度特性研究()
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《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第30卷
期数:
2007年03期
页码:
48-53
栏目:
物理学
出版日期:
2007-09-30

文章信息/Info

Title:
Researches on Scaling Properties of Chinese Stock Markets With DFA
作者:
都国雄1;  2;  宁宣熙1;  胡永生3
( 1. 南京航空航天大学经济与管理学院, 江苏南京210016 )
( 2. 南京工业职业技术学院, 江苏南京210016)
( 3. 南京理工大学电子工程与光电技术学院, 江苏南京210094 )
Author(s):
Du Guoxiong1; 2; Ning Xuanxi1; Hu Yongsheng3
1.School of Economics and Management,Nanjing University of Aeronautics and Astronautics,Nanjing 210016,China
2. N an jing Inst itute of Industry and Techno logy, Nan jing 210016, Ch ina
3. School ofE lectron ic E ngineering and Optoelectron ic Techn ology, Nan jing Un iversity of Science and T echnology, Nan jing 210094, Ch ina
关键词:
经济物理学;  股票市场;  标度特性;  持久性;  标度指数;  消除趋势波动分析法(DFA)
Keywords:
econophysics;  stock marke t;  scaling prope rty;  pe rs istence;  scaling exponent;  DFA m ethod
分类号:
F832.51
摘要:
将消除趋势波动分析法(DFA)应用于我国沪深两市不同时间标度收盘指数的对数收益率序列,全面分析了我国股市的标度特性.发现标度指数随着考察时间的长短,即数据个数的不同而不同,但从长期来看,两市波动都存在持久性特征,而且收益率的绝对值序列和平方值序列的持久性更明显;在相同时间范围内,不同时间标度序列的标度指数相差不大,存在标度不变性;小标度时间序列存在多重分形特征.这些结果说明我国股票市场存在复杂的非线性动力学特性.
Abstract:
By app ly ing the de trended fluctua tion ana lysis( DFA) , the loga rithm ic return series o f Ch inese stock m arke ts w as stud ied and the ir sca ling properties w ere ana ly zed. It is found ou t that the sca ling expo nen ts changew ith the per iod and there is pe rs istence. The sca ling exponents don’ t vary obv iouslyw ith the sca ling, so the sca le- invar iance ex ists. The short sca ling tim e series have mu ltifractal proper ties. These resu lts illustrate tha t the Chinese stock m arkets are the com plicated non- linear dynam ic system s.

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相似文献/References:

[1]都国雄.股票市场普适性规律的分析与研究[J].南京师大学报(自然科学版),2012,35(04):41.
　Du Guoxiong.Analyses and Researches of the Universality in Stock Markets[J].Journal of Nanjing Normal University(Natural Science Edition),2012,35(03):41.

备注/Memo

备注/Memo:
基金项目: 江苏省高校自然科学研究指导性计划( 05KJD140087 )资助项目.
作者简介: 都国雄( 1964- ) , 博士研究生, 副教授, 主要从事理论物理学在股市特性中的应用的教学与研究. E-m ail:dugx@ n iit. edu. cn
更新日期/Last Update: 2013-05-05