金融時(shí)間序列的多重分形分析

1、金融時(shí)間序列的多重分形分析金融時(shí)間序列的多重分形分析MULTIFRACTALANALYSISOFFINANCIALTIMESERIES指導(dǎo)教師：師：申請學(xué)位級(jí)別：學(xué)申請學(xué)位級(jí)別：學(xué)士論文提交日期：論文提交日期：2014年6月12日摘要有效市場假說(EMH)是現(xiàn)代金融市場的基礎(chǔ)理論，該理論認(rèn)為市場的價(jià)格反映了市場的全部信息，市場價(jià)格的波動(dòng)之間相互獨(dú)立而且不可預(yù)測，收益率服從隨機(jī)游走，收益率分布服從正態(tài)分布或?qū)?shù)正態(tài)分布.但是，現(xiàn)實(shí)中的種種

2、ABSTRACTEfficientMarketHypothesis(EMH)isthebasisofmodernfinancetheythemainideaofEMHisthatthefinancialmarketpricespresentsallinfmationofmarketfluctuationofmarketpricearenotonlyindependentbutalsounpredictablethereturnsfoll

3、owaromwalkhypothesisthedistributionsofthereturnsisnmallogarithmnmaldistribution.Yetmanyabnmalfinancialvisionsinrealitymeansthatthetraditionalfinancialtheieshavegreatlimitationitshowsthattheactualcapitalmarketisnotalinear

4、systemwhichasthetraditionaltheydescribedbutanonlinearsystem.Thisalsomeanstheappearancedevelopmentoffractalthey.Thebasicviewoffractaltheyisthatthefinancialmarkethasobviousfractalstructurefattailacteristics.Thefinancialtim

5、eseriesispersistentantipersistenceinacertainscaledifferentamplitudefluctuationscanshowmultifractalacteristics.Sothefractaltheycanrevealthevolatilitynaturemeaccuratelythanthatoftraditionalcapitalmarkettheycaneffectivelyre

6、vealbasiclawofthefinancemarket.ThisthesischoosesthestockreturndataonthedayclosingpricebetweenJanuary52005toMay222014oftheShanghaiStockExchangeCompositeIndexthePartialIndexofShenzhenStockMarketasasample.adoptRSDFAMFDFAfra

7、ctalmethoddoingempiricalresearchanalysisofourcountrystockmarketthemultifractalacteristics.Themainwkincludesthevalidationoftwotimeseriesfractalmultifractalacteristicsbyanalysistheeffectivenessofmarketoftwotimeseriesgiveth

8、eresultthattheShanghaistockmarketismeeffectivethantheShenzhenstockmarketbyanalysiscomparethetwotimeseriesofmarketriskgivetheresultthattheriskofShanghaistockmarketisbiggerthantheShenzhenstockmarket.Keywd:Fractalmultifract