金融时间序列之分析

《金融时间序列之分析》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、WhatCanWeLearnFromAnalysisofFinancialTimeSeriesWhatcanWeLearnfromAnalysisoftheFinancialTimeSeries?*Bing-HongWang*DepartmentofModernPhysicsUniversityofScienceandTech-nologyofChinaHerewereporttheresearchworkaboutHefei,Anhui,230026Chinaandanalysisofthefinancialt

2、imeseriesbasedShanghaiAcademyofSystemonnonlineardynamicsandstatisticalScienceShanghai,200093ChinaphysicsundertookinrecentyearsbyUSTCE-mail:bhwang@ustc.edu.cncomplexsystemresearchgroup.Bing-HongWang1.INVESTIGATIONOFTHEDIS-zeroreturnfortimeintervals∆tspanningfo

3、rempiricallawsthatcanrevealsuchTRIBUTIONANDSCALINGOFatleasttwoordersofmagnitude.However,complexinteractionsandtheoriesthatwillFLUCTUATIONSFORSTOCKthepower-lawfall-offbehaviorinthetailshelpunderstandthem[2-5].AsfarastheINDEXINFINANCIALMAR-deviatefromthatofLévy

4、stableprocess.financialmarketsareconsidered,duetoKETThetwotailsofthedistributiondropmoreintensivestatisticalstudiesduringthelastInordertoprobetheextentofuniversalityslowlythanaGaussian,butfasterthanadecade,themodelofmarketfluctuationinthedynamicsofcomplexbeha

5、viorinLévyprocesswithanexponentoutsidetheproposedbyBachelierin1900suffersthefinancialmarketsandtoprovideabasicLévystableregion.Especiallyafterremov-impugnationandthechallengeofactualandappropriateframeworkfordevelopingingdailytradingpatternfromthedata,thefina

6、ncialdatasuchasthereal-lifemarketseconomicmodelsoffinancialmarkets,weexponentialdeviationbehaviorfromLévyareofreturndistributionsdisplayingpeak-investigatedthedistributionofthefluctua-stableprocessismoreclearly.Thedailycenterandfat-tailproperties[6-7],onecant

7、ionsintheHangSengindex—themostpatternthusaffectsstronglytheanalysisobservevolatilityclusteringandanon-triv-importantfinancialindexintheHongKongoftheasymptoticbehaviorandscalingofial“multifractal”scaling[8-10],andsoon.stockmarket[1].Thedataincludeminutefluctua

8、tiondistributions.TheexponentialTheseuniversalfeaturesportrayaworldofbyminuterecordsoftheHangSengindextruncationensurestheexistenceofafinitenonGaussianrandomwalksandinspirefromJanuary3,19