| Ising动力系统模拟收益率的多重分形分析 |
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| 引用本文： | 方雯,王军.Ising动力系统模拟收益率的多重分形分析[J].北京交通大学学报(自然科学版),2011,35(3). |
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| 作者姓名： | 方雯 王军 |
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| 作者单位： | 北京交通大学理学院,北京,100044;北京交通大学理学院,北京,100044 |
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| 基金项目： | 国家自然科学基金资助项目(70771006,10971010); 中央高校基本科研业务费专项资金资助(2011YJS077) |
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| 摘 要： | 应用Ising模型和平均场理论构造符合股市收益率的动力系统,借助于计算机软件Mat-lab,利用蒙特卡洛模拟方法,通过调整参数模拟得出动力系统的收益率序列.分析发现:Ising动力系统构造的收益率同证券市场股票指数波动率一样具有厚尾等统计特征.对模拟收益率原序列和混洗后的序列进行多重分形分析,得出了模拟收益率序列存在分布多重分形和相关性多重分形的结论.
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| 关 键 词： | Ising动力系统 蒙特卡洛模拟 正态分布检验 多重分形 |
Simulation and multifractal analysis by stochastic Ising dynamic systems for returns |
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| FANG Wen,WANG Jun.Simulation and multifractal analysis by stochastic Ising dynamic systems for returns[J].JOURNAL OF BEIJING JIAOTONG UNIVERSITY,2011,35(3). |
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| Authors: | FANG Wen WANG Jun |
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| Institution: | FANG Wen,WANG Jun(School of Science,Beijing Jiaotong University,Beijing 100044,China) |
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| Abstract: | We considered a logarithmic returns process based on Ising model and mean field approximation.By adjusting parameters,we get the simulated returns of the dynamic systems by using mathematical soft Matlab and Monte Carlo simulatiomarket have similar statistical properties,such as fat-tail behavior.By comparing the multifractal detrended fluctuation analysis(MFDFA) results for original series with those for shuffled series,we can make a conclusion that multifractality of the returns both due to a broad probab... |
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| Keywords: | Ising dynamic systems Monte Carlo simulation normal distribution test multifractal behavior |
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