股票市场收益的长期记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义.针对上海和深圳A股算术加权和流通市值加权市场指数的周收益序列以及上证180指数和深圳成份指数中选取的12只代表性股票的周收益序列,采用重标...股票市场收益的长期记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义.针对上海和深圳A股算术加权和流通市值加权市场指数的周收益序列以及上证180指数和深圳成份指数中选取的12只代表性股票的周收益序列,采用重标级差分析(R/S分析)和ARF IM A模型对其进行了实证研究.从统计结果来看,样本序列呈现出尖峰和肥尾等有偏特征,明显不满足正态分布的假设,表明收益序列可能具有长程相关或记忆性.进一步的研究发现,沪深两市A股市场指数收益序列和大多数个股(10只股票)存在明显的长期记忆特征,收益分布表现出持久性.从划分不同时段的分析结果来看,中国股票市场渐进趋于弱势有效.展开更多
It is adequate to use the gray theory for modeling and forecasting short-term calamity series. The forecast of calamity gray series is equivalent to predicting an extraordinary event in nature. In order to look for th...It is adequate to use the gray theory for modeling and forecasting short-term calamity series. The forecast of calamity gray series is equivalent to predicting an extraordinary event in nature. In order to look for the regularity, the calamity date series, created from the threshold for a fixed time-interval series, are studied. In this paper, the Hurst exponent is applied to defining the long-term memory effect of the simulated calamity series, and is tested for the feasibility of using it as pre-requisite information before the gray modeling and forecasting. Based on the fractional Brownian motion (fBm) model, the time series with a definite length or quantity of data are derived assuming that various kinds of memory effect exist. Different threshold values are defined to yield or to analogize the calamity date series that are required in the prediction of the gray calamity events. After case study, both of the simulated and real seismic data show that the Hurst exponents are greater than 0.5 and, therefore, indicate that the long-term memory ef-fect exists. The correlation between the Hurst exponent and the gray modeling parameter, a, provides criteria for the classification of the forecast.展开更多
文摘股票市场收益的长期记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义.针对上海和深圳A股算术加权和流通市值加权市场指数的周收益序列以及上证180指数和深圳成份指数中选取的12只代表性股票的周收益序列,采用重标级差分析(R/S分析)和ARF IM A模型对其进行了实证研究.从统计结果来看,样本序列呈现出尖峰和肥尾等有偏特征,明显不满足正态分布的假设,表明收益序列可能具有长程相关或记忆性.进一步的研究发现,沪深两市A股市场指数收益序列和大多数个股(10只股票)存在明显的长期记忆特征,收益分布表现出持久性.从划分不同时段的分析结果来看,中国股票市场渐进趋于弱势有效.
文摘It is adequate to use the gray theory for modeling and forecasting short-term calamity series. The forecast of calamity gray series is equivalent to predicting an extraordinary event in nature. In order to look for the regularity, the calamity date series, created from the threshold for a fixed time-interval series, are studied. In this paper, the Hurst exponent is applied to defining the long-term memory effect of the simulated calamity series, and is tested for the feasibility of using it as pre-requisite information before the gray modeling and forecasting. Based on the fractional Brownian motion (fBm) model, the time series with a definite length or quantity of data are derived assuming that various kinds of memory effect exist. Different threshold values are defined to yield or to analogize the calamity date series that are required in the prediction of the gray calamity events. After case study, both of the simulated and real seismic data show that the Hurst exponents are greater than 0.5 and, therefore, indicate that the long-term memory ef-fect exists. The correlation between the Hurst exponent and the gray modeling parameter, a, provides criteria for the classification of the forecast.
