摘要
已有研究通过对汇率、股票收益率、黄金价格等金融市场实证数据的分析,发现这些数据具有多标度分形(multifractal)特征.通过对中国金融市场的代表数据之一———上海证券交易所综合股价指数(SSECI)的研究得出了相似的结论,并且初步提出了运用多标度分形理论所提供的信息来进行金融风险管理的风险管理思路.
Many recent researches with empirical data have demonstrated that financial data have multifractal properties, but seldom with Chinese financial data. In this paper we study the Shanghai Stock Exchange Composite Index (SSECI) and find that return volatility correlations are powerlaws with a non_unique scaling exponent. The result is quite similar to other researcher's findings. Since multifractal models for financial market can provide us much information about volatility, we suppose the associated research between multifractal and risk management would be significative.
出处
《管理科学学报》
CSSCI
2003年第1期87-91,共5页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(70171054).
