中国证券市场股票收益持久性的经验分析.pdf

  本文关键词：中国证券市场股票收益持久性的经验分析，由笔耕文化传播整理发布。

网友一文千金近日为您收集整理了关于中国证券市场股票收益持久性的经验分析的文档，希望对您的工作和学习有所帮助。以下是文档介绍：,R?S,R?S,,R?S,R?S,,,,,R?S::shiyd@online.,Deimling()Campell,LoandMaekinlay();H()(EMH),,(),,,(Fama,;Heish,)(,;,;,),,EMHHurst()R?S(rescaledrangeanalysis),Hurst,,HurstR?SMandelbrot()R?S,(Peter,;HuangandYang,)R?S,R?S,,,,()R?SR?SHurst,:{xt},M,:? - Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.Xt,N=ti=(xi-xN)()RN=Max{Xt,N}tN-Min{Xt,N}tN(),N,Xt,NN,xNN,RNN,N(M-)?,RNN(Feder,),HurstRN:RN?SN=(aN)H(),SNN,a,H,H(Mandelbrot,):()H=,()H<,()<H,H=,,,;H<,,,,,,,,;<H,,(),,()(Hurst,)H()H():ln(RN?SN)=HlnN+Hlna()RN?SNN,ln(RN?SN)lnNOLS,H,N(M-)?H,,:CN=(H-)-(N(H=);(H>);(H<)(ACF),,,(),(),,R?S,,R?S,,()St=ln(pt?pt-)()pt=t,St=tStAR()St:xt=St-(a+bSt)()abAR(),xtM{xt}AN,AN=M,Ia,a=,,,A;Iaxtxk,a,k=,,,NIa,():Xk,a=ki=(xi,a-ea),k=,,,N()eaIa{xk,a},Xk,aIa{xk,a}()Ia{xk,a}RIa:RIa=Max{Xk,a}kN-Min{Xk,a}kN()? - Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.N(R?S)N:(R?S)N=AAa=(RIa?SIa)()SIaIa{xk,a}()()H,CM(),(R?S)N,E(R?S),VHurst,R?S,Peter(),,,VVlnN,,V(R?S)NN(H>),(V);(H=H<),;VN=(),N=,N(R?S)NH,,H=(),E(H)=R()F()DW()()(CM=%)H,,VVN=(),N=,N,(R?S)N,,H=(),E(H)=R()F()DW()()H,N>,(R?S)N,H=,H=(N=)N>,(R?S)N,H=,H=(Peters,),(N=)H,,R?S:H=H=,H(SpectralAnalysis),Peters()VE(R?S),Peters(),? - Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.(R?S)NNlnNR?Sln(R?S)E(R?S)VV(R?S)E(R?S)........................................................................................................................................................................................................................,,,,,?Peter():,()? - Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.(R?S)NLn(R?S)N()H(LnN)E(H)CMRFDWN-........(-.)(.)(.)[.][.][.]<N.......(.)(.)(.)[.][.][.]N-........(-.)(.)(.)[.][.][.]<N-.......(-.)(.)(.)[.][.][.]:t,,(EMH),,,R?S:,,,,,()(),,,:.E(R?S):E(R?S)N=(N-.)N(.PN)-.N-r=(N-r)?r.V:V(R?S)N=(R?S)N?N:[]H():,():,():,():,Campell,J.Y.,Lo,A.W.andMaekinlay,A.C.():TheEconometricsofFinancialMarkets,PrincetonUniversityPress,Princeton,NewJersay.Deimling,Klaus():NonlinearFunctionAnalysis,SpringVerlag.Fama,E.F.():EfficientCapitalMarkets:AReviewofTheoryandEmpiricalWork,JournalofFinance,XXV,No..Feder,J.():Fractals,NewYork,PlenumPress.Heish,D.A.():ChaosandNonlinearDynamics:ApplicationtoFinancialMarkets,TheJournalofFinance,Vol.,pp.-.Huang,B.andC.W.Yang():TheFractalStructureinMultinationalStockReturns,AppliedEconomicsLetters,,pp.-.Hurst,H.E.():LongtermStorageofReservoirs,TransactionsoftheAmericanSocietyofCivilEngineers,pp.-.Mandelbrot,B.B.():ycles:FromCovariancetoR?SAnalysis,AnnalsofEconomicandSocialMeasurement,,July.Peter,E.E.():FractalMarketAnalysis,JohnWiley&Sons,Inc..():R?SAnalysisUsingLogarithmicReturns:ATechnicalNote,FinancialAnalystsJournal,November?December.():FractalStructureintheCapitalMarkets,FinancialAnalystsJournal,July?August.(::)? - Tsinghua Tongfang Optical Disc Co., Ltd. All rights reserved.

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  本文关键词：中国证券市场股票收益持久性的经验分析，，由笔耕文化传播整理发布。