| 风险的频度、累积性及与Hurst指数关系的研究 |
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| 引用本文： | 李红权,马超群. 风险的频度、累积性及与Hurst指数关系的研究[J]. 系统工程, 2005, 23(2): 82-85 |
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| 作者姓名： | 李红权 马超群 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家自然科学基金资助项目(70471030)，国家社会科学基金资助项目(030JBY56) |
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| 摘 要： | 从金融资产价格波动的符号动力学特征出发，提出了衡量金融风险水平的两个新指标：风险的频度与累积性，分别建立了这两个风险指标与Hurst指数之间关系的命题，并用Monte Carl。实验验证了这两个命题，表明其命题内容的正确性与有效性。
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| 关 键 词： | 风险累积性 Hurst指数 Monte Carlo方法 |
| 文章编号： | 1001-4098(2005)02-0082-04 |
On the Frequency & Additivity of Risk and Its Relation with Hurst Exponent |
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| LI Hong-quan,MA Chao-qun. On the Frequency & Additivity of Risk and Its Relation with Hurst Exponent[J]. Systems Engineering, 2005, 23(2): 82-85 |
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| Authors: | LI Hong-quan MA Chao-qun |
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| Abstract: | This article puts forwards two new risk measures from the view of sign characteristic of price volatility. Then, two hypotheses about the relationship between Hurst exponent and each new measures is disclosed respectively. The (empirical) study using Monte Carlo simulation verifies the two hypotheses. |
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| Keywords: | Risk Measures Hurst Exponent Monte Carlo Simulation |
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