酒鬼酒股票收益率序列的多重分形特征

doi:10.3969/j.cnki.jdxb.2015.04.021

journal6 ›› 2015, Vol. 36 ›› Issue (4): 88-92.DOI: 10.3969/j.cnki.jdxb.2015.04.021

酒鬼酒股票收益率序列的多重分形特征

蒙迅，黄毅，吴生虎，谢志辉，史凯

(1.吉首大学生物资源与环境科学学院，湖南吉首 416000；2.吉首大学数学与统计学院，湖南吉首 416000)

出版日期:2015-07-25 发布日期:2015-07-27
通讯作者: 史凯（1980—），男，四川西昌人，吉首大学生物资源与环境科学学院副教授，博士，主要从事环境系统的非线性和复杂性研究.
基金资助:
湖南省自然科学基金青年人才培养联合基金项目(13JJB012)；湖南省自然科学基金青年人才培养联合基金项目(13JJB012)；吉首大学大学生研究性学习与创新性实验计划项目资助(教通[2014]20号-86)

Multifractal Analysis of Stock Return Series of Jiugui Liquor Co. Ltd

MENG Xun, HUANG Yi, WU Sheng-Hu, XIE Zhi-Hui, SHI Kai

(1.College of Biology and Environmental Science，Jishou University，Jishou 416000，Hunan China;2.College of Mathematics and Statistics，Jishou University，Jishou 416000，Hunan China)

Online:2015-07-25 Published:2015-07-27

摘要/Abstract

摘要：运用多重分形消除趋势波动分析法，研究湘西酒鬼酒上市公司股票收益率的多重分形特征可知，股票收益率序列在不同尺度上均具有多重分形特征，验证了分形市场的假说.进一步运用相位随机替代法与随机重构法，对不同时间尺度上多重分形特征的动力原因进行分析可知，在小时间尺度上长期持续性占主导作用，而大时间尺度上尖峰胖尾与长期持续性共同作用导致多重分形特征的产生.

关键词： 股票, 收益率序列, 多重分形特征, 时间尺度

Abstract: Multifractal detrended fluctuation analysis has been used to research the multifractal characteristics of stock returns of Jiugui Liquor Co. Ltd in Xiangxi Autonomous Prefecture.The evidence shows that the return series are multifractal both for time scales smaller than a week and for time scales larger than a week，it also verifies the fractal market hypothesis about stock.Furthermore，the sources of multi-fractal characteristic are analyzed through shuffling procedure and phase randomization procedure at different scales.For time scales smaller than a week，the main contribution of multifractality is long-range correlations.For time scales larger than a month，both fat-tail distribution and long-range correlations play important roles in the contribution of multifractality.

Key words: stock, return series, multifractal characteristic, time scale

蒙迅, 黄毅, 吴生虎, 谢志辉, 史凯. 酒鬼酒股票收益率序列的多重分形特征[J]. journal6, 2015, 36(4): 88-92.

MENG Xun, HUANG Yi, WU Sheng-Hu, XIE Zhi-Hui, SHI Kai. Multifractal Analysis of Stock Return Series of Jiugui Liquor Co. Ltd[J]. journal6, 2015, 36(4): 88-92.

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酒鬼酒股票收益率序列的多重分形特征

Multifractal Analysis of Stock Return Series of Jiugui Liquor Co. Ltd

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