| 随机分形与金融波动的市场机制 |
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| 引用本文： | 樊智,张世英.随机分形与金融波动的市场机制[J].系统工程,2003,21(1):38-42. |
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| 作者姓名： | 樊智 张世英 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金资助项目 ( 70 1710 0 1) |
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| 摘 要： | 简要回顾有效市场理论并指出其缺陷，将随机分形和分数布朗运动引入金融波动的研究中，阐述随机分形市场的经济涵义和波动机制，指出金融波动的异方差性，将分数维时间序列建模和异方差建模相结合，提出ARFIMA－GARCH模型，并给出实证研究。
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| 关 键 词： | 随机分形 金融波动 市场机制 异方差 ARFIMA－GARCH |
| 文章编号： | 1001-4098(2003)01-0038-05 |
Random Fractal and Market Mechanism of Financial Volatility |
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| FAN Zhi,ZHANG Shi-ying.Random Fractal and Market Mechanism of Financial Volatility[J].Systems Engineering,2003,21(1):38-42. |
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| Authors: | FAN Zhi ZHANG Shi-ying |
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| Abstract: | This paper firstly reviews the Efficient Market Theory and points out its limitations, and applies random fractal and fractional Brownian motion to the research financial market volatility. Then we expatiate on the economic meaning and volatility mechanism of random fractal market, and describe the heteroscedasticity characteristic of financial volatility. By combining the fractional dimension time series and heteroscedasticity models, we bring forward the ARFIMA-GARCH model and present the real data demonstration using this model. |
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| Keywords: | Efficiency of Financial Market Fractal Random Fractal Heteroscedasticity ARFIMA-GARCH |
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