金融市场复杂性及其标度行为的实证研究-理论物理专业论文.docxVIP

⑨ ⑨ 硕士擘住论吏 MASTER’STHESIS Abstract Complexity science is a new and developing interdisciplinary science nowadays． It has broken the linearity,equilibrium，determinate traditional style，devotes in the research of non-linearity,non-equilibrium and the many-body problems．Its appear- 3,1ice enormous develops non-1inear science．But the economical system is one of most complex systems which the humanity creates，therefore the economical system is one of complexity science most important research directions．弛a-ticle etaborates the basic concepts and the properties of complex system and the complex network，the appearance of econophyscis，the research contents，the nlain models，the trend of the development and the physical method and the models which be used frequently in the econophyscis．The main works of this article is the empirical research of the financial markets and Can divide into two parts． The first part analyzes the change of price of 74 global currencies in the time interval from March 2002 to February 2006，defines the concept of relative return，and based on it．we research the distribution of relative return in which found the power law．Further，through the random matfix theory,we find that the distribution of eigenvalues of correlation matfix of relatire return aLso follows a power law．at the saa-Tle time．we obsorve that the distribution of correlation toe伍cients of relative return of currencies is time-dependent at some extent，S0，by using the method of SCaled factorial moment．we make detalled analysis and make a conclusion that the distribution of aorrelation COeffieients has the dynamic fiuctuation which shOWS the SClf-similarly property of the fzactal。 The second part introduces the long range correlation existed in the stock mar- kets of Asia．We choose the N225 Index of Japan and SSEC Index of shaIlghal in China．Wj first define the generalized form of volatility,then nse the detrended fluc- tuation analysis(DFA)on the generalized volatility,which find that there