我國證券市場分形特征研究.pdf

1、湖南大學(xué)碩士學(xué)位論文我國證券市場分形特征研究姓名：郭虎清申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：管理科學(xué)與工程指導(dǎo)教師：祁順生20041028我國證券市場分形特征研究AbstractInthelastftyyearsEfficientMarketHypothesishasbeentheceproposition.Whenwetracingitsdevelopingapproachwefindmanyofdefinitionsofit.Inthenmal

2、peoplealwaysusethedefinitionbyFamawhichsays:Efficientfinancialmarketissuchmarketinwitchitsbonds’pricesalwaysaffecttheinfmationthatwecangotten.InanotherwayFamastillputfwardsthethreetypesofefficientMarketbasedonclassifying

3、infmationaboutassetspricingbyRobertsthereareweakstrongefficientmarketsemistrongefficientmarketstrongefficientmarket.FthelinearessenceofEfficientMarketHypothesisitalwayshasbeenwriedbyitstest.Inthefirstinstanceempiricalres

4、ultswereabletomatchtheEfficientMarketHypothesisbylargebutinthe1970sEfficientMarketHypothesishasbeengainingmemechallengewhichnotonlyfromthetheybutalsofromtheempiricalresearch.Thereareespeciallymanyofabnmals，suchaschoasthe

5、ycatastrophetheybehavifinancetheycoherentmarkettheythefractalmarkettheywhichletresearcherstakingmeattentionmeabouttheuseofnonlineartheyinfinancialmarket.TheFractalMarketHypothesishasfivemainideas.FirstlytheFractalMarketH

6、ypothesisthinkthecapitalmarketasafeedbacksystemwhichhaslongtimecrelationtrend.Secondlysystemhasacriticallevel.Atthecriticallevelthequalityofsystemshallchangeitcanbefkedgottennotonlyoneequilibriumstate.Inanotherwaysystemm

7、aybefromstablestatetofouluponegainedtheirregularstate.ThirdlyfbondpricebondreturnratearefollowingbyFractaldistributionwecanevaluatebondmarket’svolatilityequalcyclebyTheFractalMarketHypothesis.fourthlycapitalmarketisanmar

8、ketapartfromequilibriumconditionitactuallyissuchamarketthatrepeatedbyromnoise.Fifthlyfdependedoniginalconditiontheinputoutputofsystemrepeatedrepeatedcontinuallysoanydifferentofiginalconditionshouldbemagnifiedinexponentia

9、lwayfthesystem’sromicitythesystemfgetthefmerdata.Inourpaperresearchingontheindexofbothshanghaishengzhenbondmarketfrom4th1994to4th2004wefindthatourbondmarkethasobviousfractalacterwkingouttheHurstindexLyapunovindexwhichpro