摘要
本文对有效市场假说和分型市场假说的基本理论做了介绍,对上海证券市场的分形结构进行了研究,并对上证指数收盘价的日数据和周数据进行R/S分析并计算Hurst指数,通过对比发现,上海股票市场不属于EMH所描述的有效市场,而是具有自相似性、状态持续性、长期记忆周期等明显的分形特征。
This paper introduces the basic theory of Efficient Market Hypothesis and Fractal Market Hypothesis,analyzes the fractal market structure in Shanghai securities business,make a R /S analysis and Hurst index calculation of the day and week data of Shanghai stock index closing price.By contrast,we find：Shanghai stock market does not belong to the efficient market that EMH has described,but it has obvious characteristic such as self-similar,persistence and long-term memory and so on.
出处
《上海金融学院学报》
2010年第2期53-58,共6页
Journal of Shanhai Finance University
