宁波大学学报：理工版
寧波大學學報：理工版
저파대학학보：리공판
Journal of Ningbo University(Natural Science and Engineering Edition)
2011年
4期
79-82
,共4页
有效性市场%R/S分析%动态Hurst指数%时间周期%随机运动
有效性市場%R/S分析%動態Hurst指數%時間週期%隨機運動
유효성시장%R/S분석%동태Hurst지수%시간주기%수궤운동
effectiveness of market%R/S analysis%dynamic Hurst%time period%random motion
采用长时间、大周期统计Hurst指数，进而计算出动态Hurst指数，从而判断实际股票市场的股票指数的趋势以及动态Hurst指数的适应范围，认为动态Hurst指数在证券投资中有一定的参考价值，可以对股票价格或指数的长时趋势进行预测．
採用長時間、大週期統計Hurst指數，進而計算齣動態Hurst指數，從而判斷實際股票市場的股票指數的趨勢以及動態Hurst指數的適應範圍，認為動態Hurst指數在證券投資中有一定的參攷價值，可以對股票價格或指數的長時趨勢進行預測．
채용장시간、대주기통계Hurst지수，진이계산출동태Hurst지수，종이판단실제고표시장적고표지수적추세이급동태Hurst지수적괄응범위，인위동태Hurst지수재증권투자중유일정적삼고개치，가이대고표개격혹지수적장시추세진행예측．
Hurst Index is defined in fractal chaos theory and time series to determine groups of statistical parameters, which has been applied in marketing process. In this paper, we calculate the Hurst index based on the data collected from the real stock market price. Upon certain conditions, stock price movement does not fit the Brownian motion model, indicating the invalidity of the given stock market. The presented method is aimed to calculate the statistics for long-time Hurst index of a large cycle so as to calculate the＇dynamic Hurst index.
