西部论坛
西部論罈
서부론단
West Forum
2012年
1期
95~101
,共null页
金融价格波动 回复性 间歇性 噪声交易理论 分形市场理论 基本面价值 交易者禀赋 噪声交易者 基本面交易者
金融價格波動 迴複性 間歇性 譟聲交易理論 分形市場理論 基本麵價值 交易者稟賦 譟聲交易者 基本麵交易者
금융개격파동 회복성 간헐성 조성교역이론 분형시장이론 기본면개치 교역자품부 조성교역자 기본면교역자
financial price vibration; reversion; intermittency; noise transaction theory; Fractal Market Hypothesis; basic price; business dealer endowment; noise dealer; fundamental trader
基于Lux和Marchesi（1999）的研究,具有3种行为特质的交易者禀赋使金融市场交易者行为具有相对同质性与绝对异质性,进而使金融市场可能存在回复性与间歇性的交互效应。以3种具有回复性或间歇性的信号波对上证指数和道琼斯指数波动进行计量检验,结果证实了上证指数和道琼斯指数的波动均受回复性与间歇性交互效应的影响,其中上证市场的影响更为强烈,说明道琼斯市场的有效性高于上证市场。因此,金融市场价格波动的复杂性不仅在于市场中存在回复性与间歇性,而且还在于回复性与间歇性的交互效应。
基于Lux和Marchesi（1999）的研究,具有3種行為特質的交易者稟賦使金融市場交易者行為具有相對同質性與絕對異質性,進而使金融市場可能存在迴複性與間歇性的交互效應。以3種具有迴複性或間歇性的信號波對上證指數和道瓊斯指數波動進行計量檢驗,結果證實瞭上證指數和道瓊斯指數的波動均受迴複性與間歇性交互效應的影響,其中上證市場的影響更為彊烈,說明道瓊斯市場的有效性高于上證市場。因此,金融市場價格波動的複雜性不僅在于市場中存在迴複性與間歇性,而且還在于迴複性與間歇性的交互效應。
기우Lux화Marchesi（1999）적연구,구유3충행위특질적교역자품부사금융시장교역자행위구유상대동질성여절대이질성,진이사금융시장가능존재회복성여간헐성적교호효응。이3충구유회복성혹간헐성적신호파대상증지수화도경사지수파동진행계량검험,결과증실료상증지수화도경사지수적파동균수회복성여간헐성교호효응적영향,기중상증시장적영향경위강렬,설명도경사시장적유효성고우상증시장。인차,금융시장개격파동적복잡성불부재우시장중존재회복성여간헐성,이차환재우회복성여간헐성적교호효응。
Based on the researches of Lux and Marchesi（1999）,the endowment of business dealers with three kinds of behavior idiosyncrasy makes business dealer behaviors in financial market relatively homogeneous and absolutely heterogeneous and further makes financial market have the interactive effect of reversion and intermittency,three kinds of signal waves with reversion and intermittency are used to conduct calculation test for the price fluctuations of Shanghai Stock Composite Index and Dow Jones Industrial Average Index,and the results show that the price volatility of Shanghai Stock Composite Index and Dow Jones Industrial Average Index are both affected by the interaction effects of reversion and intermittency,among which Shanghai Stock Market is affected more strongly,which means that the validity of Dow Jones Market is higher than that of Shanghai Stock Market.Thus,the complexity of price vibration of financial market not only results from reversion and intermittency in the market but also from the interaction effects of reversion and intermittency.
