我国交易所债券场的混沌特性研究.pdfVIP

Research on the chaotic characteristics of exchange bond market in China Abstract The efficient market hypothesis has been made some explanation of the rule in the economic operation. However, the hypothesis cannot make reasonable explanation of the price fluctuation in the special instructions for its strict assumptions. As one of the nonlinear theory, Chaos theory regards the capital market as a complex system and makes a comprehensive analysis of price movements. Exchange bond market, which known as the index of the economic operation, is used as the financing platform. Considering the limitation of the traditional linear hypothesis, this thesis makes applies the Chaos theory to study the Shanghai bond index and Shanghai enterprise bond index to analyze the price movement. In this thesis, the research work and main construction focus on the following aspects: First of all, the paper reveals the limitations of traditional capital market hypothesis and confirms that the fractal market hypothesis could make the fully explain the price changes and investors’ behavior. What is more, the paper combs the chaotic theory to lay a solid foundation for the model application. By introducing the status quo of the exchange bond market in China and analyzing the complexity of its price sequence with various kinds of tests, as BDS test, the exchange bond market is considered to have the nonlinear characteristics. Secondly, the yield sequences of the Shanghai national debt index and Shanghai corporate debt index