R／S Analysis of China Securities Markets

This paper presents the law of changes of indices and stocks in the Shanghai and Shenzhen Stock Exchanges by using rescaled range analysis in nonlinear time series analysis. The Hurst exponents of the stock indices and of all stocks listed in the Shanghai and Shenzhen Stock Exchanges are estimated. The results show that the changes of indices and stocks in the last period have positive impact in the next period in the short run,but this impact disappears for long time.     

广义Moran集的Packing维数

给出了Ｐａｃｋｉｎｇ维数的一个等定认并确定了广义Ｍｏｒａｎ集的Ｐａｃｋｉｎｇ维数。