基于R/S方法的股票平均循环周期研究

针对中国股票市场的3个重点行业的长期记忆性和平均循环周期问题进行了研究.通过重标极差(R/S)方法来分析他们的长记忆性,在平均循环周期的估计上,使用了线性插值法来确定V统计量曲线的转折点,以及计算最小二乘法的误差来更清楚的确定R/S曲线转折点这两种方法,并将两者进行对照来估计周期,对各行业分析结果表明,得出中国股票3个行业市场都具有分形特征,其变化具有循环性.

Study of average loop cycle for stock market based on R/S method

The Hurst exponent of three industries in Chinese domestic stock market is discussed, especially the confirmation of their average loop cycle is mainly researched. The Hurst exponent is analyzed based on the R/S method. The turning point of V-statistics curve is estimated by using the linear interpolation method. Also the turning point of R/S curve is determined more accurately though calculating the least square error. More over, a comparison is given on the two methods. The experimental results indicate that several industries of Chinese stock market have the behavior of fractal properties, and they vary in periodic mode.