统计物理学在我国股票市场特性的研究中的应用.pdfVIP

不连续 其规律类似于统计物理学中序参量在临界点处的变化规律 第五 股票市场中的序参量及其特性研究 我们将统计物理学中序参量的概 念引入证券市场 通过类比分析的方法 认为证券市场多重分形中的广义维数D q 或广义赫斯特指数h(q) 相当于相变过程中的序参量 并分析了它们都具有负双曲 正切函数的变化规律 关键词 统计物理学 股票市场 时间标度 波动率行为 多重分形特性 序参量 ABSTRACT Since 1980s, people have found that some basic hypotheses on which financial theories rely do not accord with the empirical results. If we want to revise them or establish new theory, we should first analyse comprehensively the peoperties of financial market. Stock market is a complicated multi-body system and so the price fluctuations are the results of interactions of multi-bodies. Statistical physics is the subject that studies the results and fundamental principles of interactions of multi-bodies. According to the closing stock index of different time scales in Shanghai and Shenzhen and with the help of the theories and methods of statistical physics, this dissertation makes a thorough and systematic study on the properties of Chinese stock market and provides empirical results for dynamic mechanism of price fluctuations. It is made of five parts. The first is the scaling properties. By using the Rescaled Range Analysis and the Detrended Fluctuation Analysis, we study the scaling properties of return series and find there is long-range memory. The Hurst exponents are 0.6282 and 0.6358 respectively in Shanghai stock market and Shenzhen stock market. We also find there are 284-day long memory period and 115-day short memory period. The persistence becomes weak when scale shortening, but it becomes strong when time range shortening. The fluctuation becomes complicated when the scale becomes short. As to the absolute value serie