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Study on Fractal Methods and Its Application to China’s Stock Market

Author: ZhaoWei
Tutor: WangHaiYan
School: Southeast University
Course: Systems Engineering
Keywords: Stock market Long-term correlation R / S analysis DFA analysis High - high correlation function Structure of the distribution function analysis Multifractal digestion fluctuation analysis
CLC: F224
Type: Master's thesis
Year: 2005
Downloads: 233
Quote: 2
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In this paper, the latest time series fractal analysis method to study the long-term behavior of China's securities market , for December 19, 1990 and 2004 on May 14 , the Shanghai Composite Index closing index and 1991 April 3 to 2004 on May 14 , the closing index of the Shenzhen Component Index and their yields sequence . The paper first describes the background of the issues raised by domestic and international time series fractal analysis methods and applications in various fields in the status quo , then frequency histogram PP normal probability plots , QQ normal probability plot , skewness and kurtosis test and Jarque -Bera test a variety of means of checking the Shanghai Composite Index and Shenzhen Component Index yield sequence normality , the results show that they do not meet the normal conditions of the efficient market hypothesis , which proposed using fractal analysis method to the study of Chinese securities market necessity . Elaborated fractal time series theory and the important characteristics of the classical rescaled range analysis , correction rescaled range analysis and trends digestion fluctuation analysis of one-dimensional fractal analysis method , system analysis , for the rescaled very poor analysis of the short-term will produce biased results drawback , given a rescaled range analysis method based on short - term improvements , a variety of one-dimensional fractal analysis method used in the Shanghai Composite Index and Shenzhen Component Index the sequence of empirical analysis , and the results were compared and explained . One-dimensional sub- shape analysis method is still not fully characterize the Shanghai Composite Index and Shenzhen Component Index sequence of fractal characteristics , in the systematic analysis of high - high correlation function analysis method , structure allocation function analysis and multi- fractal trend digestion wave analysis method and other multi- fractal analysis the basis of the relations between the methods as well as different scaling index used in on the SSE Composite Index and Shenzhen Component Index sequences conduct further empirical analysis , get multiple sub- fractal characteristics of the conclusion of the Shanghai Composite Index and Shenzhen Component Index sequence , these in different different magnitude of price fluctuations on the time scale has an extremely important significance for financial risk management .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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