| 基于 DFA 方法的股市异常波动分析 |
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| 引用本文： | 江小勤,江琳.基于 DFA 方法的股市异常波动分析[J].襄樊学院学报,2012(2):76-80. |
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| 作者姓名： | 江小勤 江琳 |
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| 作者单位： | 1. 武汉长江工商学院公共基础课部,湖北武汉430065
2. 华中科技大学经济学院,湖北武汉430074 |
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| 摘 要： | 极端事件或极值事件脱离了自身的正常演化状态,是系统演化的极端状态或系统受到外界扰动而导致的异常状态.去趋势波动分析(DFA)法得到的指数是衡量系统在某一时间尺度内演化的长程相关性的参数,系数的长程相关性不受极端事件的影响或影响很小.基于这一思想,提出了利用去趋势波动分析确定极端事件的阈值方法,并验证了该方法的有效性.文章将 DFA 方法及基于 DFA 方法确定极端事件的阈值引入对中国股市异常波动的分析.
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| 关 键 词： | 异常波动 去趋势波动分析(DFA) 极端事件 阈值方法 |
Abnormal Fluctuation of Stock Market Based on DFA |
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| JIANG Xiao-qin,JIANG Lin.Abnormal Fluctuation of Stock Market Based on DFA[J].Journal of Xiangfan University,2012(2):76-80. |
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| Authors: | JIANG Xiao-qin JIANG Lin |
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| Institution: | 1.Department of Public Basic Course,Wuhan Yangtze Business University,Wuhan 430065,China; 2.Institute of Economics,Huazhong University of Science and Technology,Wuhan 430074,China) |
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| Abstract: | When the dynamic system is in the extreme states,or it is affected by an intensive disturbance,we will get an extreme event.The detrended fluctuation analysis(DFA) measures the long-term correlation of a system,so the extreme events has no effect on system’s long-term correlation.Based on this idea,we determined the threshold of extreme events with detrended fluctuation analysis and the results testify its effectiveness.Using this method,this paper quotes the DFA and the threshold value of extreme events determined by DFA to analyze the abnormal fluctuation of China’s stock market. |
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| Keywords: | Abnormal fluctuation Detrended fluctuation analysis Coefficient of variation Extreme events Threshold value |
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