| 基于分形市场假说的中国期货市场有效性研究 |
| |
| 引用本文： | 孙伟.基于分形市场假说的中国期货市场有效性研究[J].襄樊学院学报,2011,32(5):69-76. |
| |
| 作者姓名： | 孙伟 |
| |
| 作者单位： | 安徽建筑工业学院,管理学院,安徽,合肥,230000 |
| |
| 摘 要： | 依据非线性理论中较具代表性的分形市场假说,从弱势有效市场的基本检验出发,研究了大连商品交易所的黄大豆一号,上海期货交易所的阴极铜、铝,郑州商品交易所的硬冬白小麦、一号棉花的期货合约收益率的赫斯特指数,检验了我国期货市场的分形特征,并通过计算这五种期货合约的非周期循环的长度,发现我国期货市场缺乏有效性.
|
| 关 键 词： | 分形市场假说 期货市场 R/S分析法 |
Efficiency of Chinese Futures Market Based on Fractal Market Hypothesis |
| |
| SUN Wei.Efficiency of Chinese Futures Market Based on Fractal Market Hypothesis[J].Journal of Xiangfan University,2011,32(5):69-76. |
| |
| Authors: | SUN Wei |
| |
| Institution: | SUN Wei(School of Management,Anhui University of Architecture,Hefei 230000,China) |
| |
| Abstract: | Based on fractal market hypothesis and basic test of weak form efficiency,Hurst Component of soybean-1 from Dalian Commodity Exchange’s contracts,negative copper and aluminum from Shanghai Futures Exchange,wheat and cotton-1 from Zhengzhou Commodity Exchange are studied,and tests the fractal features of Chinese futures market.Then it calculates the length of acyclic cycle of these five futures contracts.Finally and points out the efficiency lack of Chinese futures market. |
| |
| Keywords: | Fractal market hypothesis Futures market Rescaled Range Analysis |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
