高频金融时间序列的异象特征分析及应用——基于多重分形谱及其参数的研究
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财经研究 2005 年 第 31 卷第 07 期, 页码：125 - 134
摘要
参考文献
摘要
文章首先从理论上推导出金融资产价格的高频时间序列出现大幅震荡前后多重分形谱所具有的异象特征,然后随机选取两只股票(民生银行、哈飞股份)各35天的5min高频交易数据对上述特征进行实证分析。结果表明,两只股票在持续大幅波动开始与结束时,其多重分形谱形态及参数的变化与理论上的异象特征相吻合。运用该研究方法可以对金融资产持续大幅波动的开始及结束做出一定预测。
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引用本文
周孝华, 宋坤. 高频金融时间序列的异象特征分析及应用——基于多重分形谱及其参数的研究[J]. 财经研究, 2005, 31(7): 125–134.
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