摘要
本文根据上证综合指数和深圳成分股2003年1月2日到2006年5月17日的收盘价及换手,对上证综合指数和深圳成分股的收盘价趋势进行了分析。用R/S分析法对收盘价趋势进行了分析,为分析历史数据对收盘价的影响,引入了关联尺度函数,通过求解出上证综合指数和深圳成分股的赫斯特(Hurst)指数,可以求出其关联尺度。根据赫斯特指数及关联尺度,我们分析出了收盘价是一个有偏的随机游动,并给出了上证综合指数和深圳成分股走势的相关结论。
Based on the colsing price and change hand of the Shanghai Composite Index and Shenzhen compoent stock from January 2,2003 to May 17,2006,the work carries out an analysis to their dosing price trends respectivdy. Throughout this paper we apply R/S analysis method to analyze the trends of the dosing price,and to evaluate the effect of historical data acting on the closing price,we introduce the Correlation- Scale function,which can be obtained by computing the Hurst Index of the Shanghai Composite Index and Shenzhen component stock. With aid of Hurst Index and Collation - Scale function, we arrive at the conclusion that the closing price is a random walk with deviation. Besides, we give several consequences about the trends of the Shanghai Composite Index and Shenzhen component stock.
出处
《数学理论与应用》
2009年第1期15-18,共4页
Mathematical Theory and Applications
关键词
赫斯特
级差分析
关联尺度函数
Hurst Range analysis Correlation- Scale function
