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| 上海股票市场非线性和状态持续性的R/S分析 | |
| 引用本文： | 杨庆,秦伟良,钱海荣.上海股票市场非线性和状态持续性的R/S分析[J].南京理工大学学报(自然科学版),2003,27(Z1):5-10. |
| 作者姓名： | 杨庆 秦伟良 钱海荣 |
| 作者单位： | 1. 南京气象学院应用数学系,南京,210044 2. 东南大学经济管理学院,南京,210096 3. 苏州科技学院应用数学系,苏州,215009 |
| 基金项目： | 国家自然科学基金(40075021) 江苏省教育厅指导性计划项目课题化(Y204)资助 南京气象学院科研基金资助项目 |
| 摘 要： | 对近年来上证综合指数的收盘价进行R/S分析,揭示了上海股票市场波动的非线性、状态持续性和非周期性循环,并分段重新估计Hurst指数.结果为Hurst指数大于0.5,隐含今天的事件确实影响明天.通过双重对数图发现上证股市存在一个195d的非周期循环,表明Hurst指数在证券投资中有一定的参考价值,对长期的投资决策可以发生影响. |
| 关 键 词： | 重新标度极差分析 市场有效假设 Hurst指数 |
| 修稿时间： | 2002年9月5日 |
Exploration on Nonlinear and Persistence of the Shanghai Stock Exponent with R/S |
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| Yang Qing Qin Weiliang Qian Hairong.Exploration on Nonlinear and Persistence of the Shanghai Stock Exponent with R/S[J].Journal of Nanjing University of Science and Technology(Nature Science),2003,27(Z1):5-10. | |
| Authors: | Yang Qing Qin Weiliang Qian Hairong |
| Abstract: | The method of rescaled range analysis is used to analyze the recent return of the Shanghai stock exponent. The result of the analysis shows nonlinear,persistence and nonperiodic cycles. However, the Hurst exponent is estimated within different period. The result shows that the Hurst exponent is larger than 0.5. It implies the today's events exactly have and effect on the future. We find that the nonperiodic cycles of the Shanghai stock market are 195 days as seen from the log - log coordinate plot. It illustrates that the hurst exponent is valuable and efficient in the long-term investment and decision. |
| Keywords: | rescaled range analysis efficient market hypothesis Hurst exponent |
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