金融时间序列之分析[归参照.pdfVIP

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金融时间序列之分析[归参照.pdf

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What can We Learn from Analysis of the Financial Time Series? * Bing-Hong Wang * Department of Modern Physics University of Science and Tech- nology of China Here we report the research work about Hefei, Anhui, 230026 China and analysis of the financial time series based Shanghai Academy of System Science on nonlinear dynamics and statistical Shanghai, 200093 China physics undertook in recent years by USTC E-mail: bhwang@ustc.edu.cn complex system research group. Bing-Hong Wang 1. INVESTIGATION OF THE DIS- zero return for time intervals ?t spanning for empirical laws that can reveal such TRIBUTION AND SCALING OF at least two orders of magnitude. However,complex interactions and theories that will FLUCTUATIONS FOR STOCK the power-law fall-off behavior in the tails help understand them [2-5]. As far as the INDEX IN FINANCIAL MAR- deviate from that of L financialé vy stable process.markets are considered, due to KET The two tails of the distribution drop more intensive statistical studies during the last In order to probe the extent of universality slowly than a Gaussian, but faster than a decade, the model of market fluctuation in the dynamics of complex behavior in L é vy process