| 有效市场假设与分形市场假设 |
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| 引用本文： | 林勇,郭林军.有效市场假设与分形市场假设[J].预测,2002,21(2):34-38. |
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| 作者姓名： | 林勇 郭林军 |
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| 作者单位： | 中国人民大学金融信息中心,北京 100872 |
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| 基金项目： | 国家自然科学基金资助项目 (10 0 0 10 37) |
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| 摘 要： | 本文主要是比较了有效市场假设与分形市场假设,也即比较了证券市场的线性与非线性的观点,有效市场假设对应于正态分布,分形市场假设对应于“肥尾”分布。我们发现沪深股指的周和日收益率不服从正态分布,而月收益率因为数据太少结论有所不同。最后通过比较周收益率与日收益率发现指数的分形特征。
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| 关 键 词： | 分形 有效市场假设 分形市场假设 证券市场 正态分布 |
| 文章编号： | 1003-5192(2002)02-0034-05 |
Efficient Markets Hypothesis and Fractals Markets Hypothesis |
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| LIN Yong,GUO Lin-jun.Efficient Markets Hypothesis and Fractals Markets Hypothesis[J].Forecasting,2002,21(2):34-38. |
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| Authors: | LIN Yong GUO Lin-jun |
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| Abstract: | Compare the efficient markets hypothesis and fractals markets hypothesis, indeed they are the different methods from the point of linear and nonlinear in securities markets. Efficient markets hypothesis corresponds to the normal distribution and fractals markets hypothesis corresponds to the distribution with "fat taill". We find that the yield distributions of day indices and week indices of Shanghai and Shenzhen stock exchanges are not normal distribution. But the month indices might different dependent on the different period of data, compare the yield distributions of week indices and day indices of Shanghai and Shenzhen stock exchanges, find the fractals in Chinese securities market. |
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| Keywords: | fractals efficient markets hypothesis fractals markets hypothesis |
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