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近年来越来越多的学者应用多重分形理论来研究金融市场中的异像。本文对沪深两市指数以及沪深300指数的多重分形性质进行实证分析,研究结果表明我国股票市场存在着多重分形特性。本文还运用局部holder指数来刻画我国股票市场的局部异常值分布强度,并对指数的多重分形谱进行了探讨。
In recent years, more and more scholars apply the theory of multifractal to study the differences in financial markets. This paper conducts an empirical analysis of the multifractal properties of Shanghai and Shenzhen stock markets and the CSI 300 Index. The results show that there is a multifractal characteristic in China’s stock market. This article also uses the local holder index to describe the intensity distribution of local outliers in China’s stock market, and explores the multifractal spectrum of the index.