| 基于EMD的中国股票市场分形特征研究 |
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| 引用本文： | 秦喜文,周明眉,董小刚,宋国锋,高中华.基于EMD的中国股票市场分形特征研究[J].吉林大学学报(信息科学版),2016,34(3):449-454. |
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| 作者姓名： | 秦喜文 周明眉 董小刚 宋国锋 高中华 |
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| 作者单位： | 长春工业大学基础科学学院,长春,130012;长春工业大学基础科学学院,长春130012;吉林大学数学学院,长春130012;吉林大学数学学院,长春,130012 |
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| 基金项目： | 国家自然科学基金资助项目(11301036 |
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| 摘 要： | 为揭示我国股票市场的分形特征, 利用经验模态分解及重标极差分析法(R/ S: Rescaled Range Analysis)探究中国股票市场的特征, 利用经验模态分解方法对沪深300 指数的收盘价格对数收益率进行分析, 并采用分形理论中的R/ S 分析法对固有模态函数进行实证研究, 以揭示我国股票市场的分形特征。实验结果表明,我国股票市场具有显著的自相似性, 分解后的收益率序列是有偏的随机游走过程。
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| 关 键 词： | 高频数据 经验模态分解 Hurst移动平均指数 分形特征 |
| 收稿时间： | 2015-10-15 |
Fractal Charateristics of China's Stock Market Based on EMD Method |
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| QIN Xiwen,ZHOU Mingmei,DONG Xiaogang,SONG Guofeng,GAO Zhonghua.Fractal Charateristics of China's Stock Market Based on EMD Method[J].Journal of Jilin University:Information Sci Ed,2016,34(3):449-454. |
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| Authors: | QIN Xiwen ZHOU Mingmei DONG Xiaogang SONG Guofeng GAO Zhonghua |
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| Institution: | 1. School of Basic Science, Changchun University of Technology, Changchun 130012, China;2. School of Mathematics, Jilin University, Changchun 130012, China |
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| Abstract: | Fractal structure features of China's stock market by EMD (Empirical Mode Decomposition) and (R/ S: Rescaled Range Analysis) analysis method is explored. It is analyzed that the CSI 300 index closing price logarithmic return rate by using empirical mode decomposition method, using R/ S analysis of fractal theory to research empirical mode function to reveal the fractal characters of Chinese stock market. the final result shows that Chinese stock market has obvious self-similarity, the yield of the decomposed sequences is biased random walk process. |
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| Keywords: | high frequency empirical mode decomposition Hurst moving average index fractal characteristics |
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