不同股市的多重分形特性分析——基于统计物理和MF-DFA方法-《计算机技术与发展》

文章信息/Info

Title:: Analysis of Multifractal Characteristics in Different Stock Market——Based on Method of Statistical Physics and MF-DFA

Author(s):: WAN Tao; ZHENG Ting-ting; ZHANG Chen; ZHANG Yi-cheng; [1]School of Mathematics Science,Anhui University[2]Ministry of Education Key Lab.of Intelligent Computing ＆ Signal Processing,Anhui University

摘要:: 针对在股票市场分析的方法中存在的问题,用统计物理方法对上证综指和深证成指的日收盘价有关数据进行分析和比较,结果表明：上证综指和深证成指均具有多重分形特性,而且深证成指的多重分形性要强于上证综指。用MF-DFA方法对上证综指和深证成指的日收益率数据进行分析和比较,结果得出：深证成指日收益率的相关性程度高于上证综指。且小幅波动都具有持续性,大幅波动具有反持续性。这些结果对于预测股市风险、规范股市监管具有理论和现实意义

Abstract:: For the problems of the methods of the analysis in stock market,using the statistical physics methods to analyze and compare the relevant data of the closing quotation price between Shanghai composite index and Shenzhen component index,the results show that both Shanghai composite index and Shenzhen component index have the multifractal characteristic.What＇s more,the multifractal of Shenzhen component index is stronger than that of the Shanghai composite index.Using the multifractal detrended fluctuation analysis to analyze and compare the data of the daily return rate between Shanghai composite index and Shenzhen component index,the results show that relevant degree of the daily return rate of Shenzhen component index is higher than that of Shanghai composite index.Moreover,the slight fluctuations are all durative and the strong fluctuations are anti-durative.The results have the theoretical and practical significance for forecasting the stock market risk and regulating the stock market supervision