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Analysis of Chinese Stock Market’s Non-Linear Characteristics

Author: LvXiaoHua
Tutor: GongXiaoQing
School: Zhejiang Technology and Business University
Course: Statistics
Keywords: Nonlinear Fractal Power Law Chaos Hurst exponent Correlation dimension
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 98
Quote: 1
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Abstract


As an emerging market , capital market financing, optimize the allocation of resources for economic development plays an increasingly important role . The capital market is the core of a country's economy running and maintaining the stability of the capital market , effective prevention and management of financial risks is one of the core objectives of the Governments and investment institutions . Capital markets exactly how to run ? Linear or non-linear ? Predictable or unpredictable it ? For a long time , many scholars committed to make a reasonable interpretation of the theory and model of capital market behavior , and made ??a series of achievements . Unfortunately , the classic theory of capital markets of the essential characteristics of the capital market there are limitations . Departure from the nonlinear angle different from the classical theory of capital markets , the use of fractal power law , chaos theory and nonlinear methods to study the nonlinear characteristics of the Chinese stock market . This paper is divided into five chapters , the first chapter of introduction, describes the research background and significance . Classic capital market theory can not be explained on the market in many real-world phenomena , showing strong vitality and nonlinear science theory and methods . The second chapter summarizes the assumptions of the classical theory of capital markets , its flaws and challenges facing . The third chapter describes the Fractal Market Theory and using three different methods to calculate the Shanghai Composite Hurst index and average cycle . Chapter latest foreign non - linear estimation method to the left and right ends of the tail Shanghai Composite yield and yield absolute power rate characteristics of the tail to fit . Chapter study the dynamics of China's stock market from the angle of chaos to calculate the correlation dimension of the Shanghai Composite . The main computational results of this paper are : 1 ) the Hurst index of the Shanghai Composite Index daily yield is 0.615, significantly greater than 0.5 , the average cycle time of 304 days . 2 ) the left end of the tail of the Shanghai Composite Index daily yield asymptotically follows a power law index of as the -2.6929 power law distribution , the right end of the exponent of -3.0777 , the absolute yield of -2.7797 . 3 ) Shanghai Composite daily yield sequence the correlation dimension of 3.5 .

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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