现代经济信息
現代經濟信息
현대경제신식
Modern Economic Information
2015年
16期
261-263
,共3页
股票指数%收益率序列%多重分形%特征分析
股票指數%收益率序列%多重分形%特徵分析
고표지수%수익솔서렬%다중분형%특정분석
stock index%returns series%multifractal%feature analysis
运用多重分形消除趋势波动分析法，实证研究我国两家信托上市公司——安信信托和陕国投公司股票的每日收盘价对数收益率序列的结构特征。结果表明，这两只股票的对数收益率序列均呈非正态分布，具有多重分形特征。分别对它们的多重分形性及相关分形特征进行分析和比较，得出陕国投股票的多重分形性较安信信托股票的多重分形性更强一些，因而风险性也相对大一些。
運用多重分形消除趨勢波動分析法，實證研究我國兩傢信託上市公司——安信信託和陝國投公司股票的每日收盤價對數收益率序列的結構特徵。結果錶明，這兩隻股票的對數收益率序列均呈非正態分佈，具有多重分形特徵。分彆對它們的多重分形性及相關分形特徵進行分析和比較，得齣陝國投股票的多重分形性較安信信託股票的多重分形性更彊一些，因而風險性也相對大一些。
운용다중분형소제추세파동분석법，실증연구아국량가신탁상시공사——안신신탁화협국투공사고표적매일수반개대수수익솔서렬적결구특정。결과표명，저량지고표적대수수익솔서렬균정비정태분포，구유다중분형특정。분별대타문적다중분형성급상관분형특정진행분석화비교，득출협국투고표적다중분형성교안신신탁고표적다중분형성경강일사，인이풍험성야상대대일사。
In this paper,we use multifractal detrended fluctuation analysis to study the structure characteres of stock returns rate of the daily closing prices of two trust and listing corporations in China,Anxin trust and Shanguotou trust Company. The empirical analysis shows that the logarithmic returns series of these two stocks show an abnormal distribution and have the multifractal characteristics.Their multifractaity and related fractal characteristics are analyzed and compared,showing that the multifractality of Shanguotou trust stock is stronger than Anxin trust stock, so the risk of the Shanguotou trust stock are relatively more large.
