基于分形市场假说的沪深300股指期货市场研究

发布时间：2018-02-13 11:57

  本文关键词： 沪深300股指期货 分形市场假说 有效市场假说　出处：《南京大学》2017年硕士论文　论文类型：学位论文

【摘要】：作为现代金融研究的理论基础,有效市场假说的假设条件与实际情况并不完全相符,且无法解释许多现实存在的现象。资本市场的本质是非线性复杂系统,而在非线性理论之中,分形理论具有广泛适应性与实用性。它在金融领域形成的具体应用被称之为分形市场假说(Fractal Market Hypothesis,FMIH)。对于中国证券市场而言,沪深300股指期货的正式运营代表着一个全新金融工具的出现,可以期待它在将的来的某一天充分发挥成熟的股指期货市场所具备的套期保值、价格发现、风险规避三大功能。本文借助分形市场假说相关理论、方法与工具对沪深300股指期货市场进行研究。首先阐述了有效市场假说与分形市场假说的起源、发展、理论模型及适用范围,并将两者进行对比,认为分形市场理弥补了有效市场假说脱离真实市场的缺陷、是有效市场假说的拓展、为金融市场研究开拓了新的方向。随后通过描述性检验、J-B检验和QQ图、L-B检验和BDS检验、STABLE分布参数对比、R/S分析等方法,说明该市场中存在非线性、自相似性、长记忆性的分形特征。可以认为沪深300股指期货市场是一个分形市场,其循环周期约为198天。本文还通过改进盒计数法、MF-DFA方法对样本的整体特征进行度量,证明了沪深300股指期货市场上存在多重分形结构,小幅波动具有(更强的)持久性特征,大幅波动具有(更强的)反持久性特征。然后运用控制变量法与MF-DFA方法结合,探究了沪深300股指期货市场多重分形结构的成因,结论是长记忆性、厚尾性和极端波动均是该市场存在多重分形特征的成因,其中厚尾性起的作用最大。最后推测了该市场存在分形结构的具体原因。
[Abstract]:As the theoretical basis of modern financial research, the hypothesis conditions of efficient market hypothesis are not completely consistent with the actual situation, and can not explain many phenomena existing in reality. The essence of capital market is a nonlinear complex system. In the nonlinear theory, fractal theory has wide adaptability and practicability. Its specific application in the financial field is called fractal Market hypothesis. The official operation of Shanghai and Shenzhen 300 stock index futures represents the emergence of a new financial instrument. It can be expected to give full play to the hedging and price discovery in the mature stock index futures market one day. With the help of the theory of fractal market hypothesis, this paper studies the stock index futures market of Shanghai and Shenzhen 300 by means of methods and tools. First of all, the origin and development of efficient market hypothesis and fractal market hypothesis are expounded. The theoretical model and the scope of application are compared, and it is considered that the fractal market theory makes up the defect of the efficient market hypothesis from the real market, and it is an extension of the efficient market hypothesis. This paper opens up a new direction for the study of financial market. Then, by means of descriptive test J-B test, QQ diagram L-B test and BDS test comparing the distribution parameters of STABLE with R / S analysis, it is shown that there are nonlinear and self-similarity in this market. It can be considered that the Shanghai and Shenzhen 300 stock index futures market is a fractal market with a cycle period of about 198 days. This paper also measures the overall characteristics of the samples by the improved box counting method and MF-DFA method. It is proved that there is multifractal structure in Shanghai and Shenzhen 300 stock index futures market. Small volatility has (stronger) persistence feature, and large volatility has (stronger) anti-persistence feature. Then the control variable method is combined with MF-DFA method. This paper probes into the causes of multifractal structure of Shanghai and Shenzhen 300 stock index futures market. The conclusion is that long memory, thick tail and extreme fluctuation are the causes of multifractal characteristics in this market. The effect of thick tail is the most important. Finally, the specific reason of fractal structure in this market is inferred.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F724.5
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本文编号：1508106