摘要
从赫斯特指数、分形维和分形分布的特征指数三个方面对我国外汇市场进行了实证分析。结果显示,我国外汇市场具有长期记忆效应,是一个分形市场,但市场有效性还值得进一步研究,还需要从交易制度的转变和交易品种数量的扩大来着手解决我国人民币汇率形成机制的制度安排问题,提高我国外汇市场的有效性也就指日可待。
This paper makes an empirical analysis of China＇s foreign exchange market in terms of Hurst index, fractal dimension and fractal distribution, It is concluded that the market is characterized by long - term memory effect and is a fractal market, but its market efficacy is worth further research. Institutional arrangements for exchange rate formation mechanism of renminbi should be improved by transforming transaction system and expanding variety and volume of transaction, and improvement in the market efficacy can be expected soon.
出处
《贵州财经学院学报》
CSSCI
2008年第4期59-64,共6页
Journal of Guizhou College of Finance and Economics
关键词
赫斯特指数
分形维
特征指数
长期记忆
Hurst index
fractal dimension
characteristic index
long - term memory
