Chapter two expounds chaos and fraction theory of capital market, respectively recommends the concept and characteristic of chaos and fraction theory, fractal market hypothesis, r / s analytic approach, hurst index's estimation and application etc . chapter three introduces methods to judge if one system have chaos and fractal phenomena, mainly use lyapunov index and fractal dimention to judge 第二章論述了資本市場的混沌與分形理論,分別介紹了混沌與分形的概念與特征、分形市場假說、重標(biāo)極差分析法(rs分析法)、赫斯特(hurst)指數(shù)的估計(jì)與應(yīng)用等問題。
Firstly, this paper makes clear the meaning of stock markets " efficiency through different perspectives, and then introduces the efficient market hypothesis ( emh ) and fractal market hypothesis ( fmh ) . as one important part of rational anticipation theory, emh is the foundation of capital market theories, but the linear paradigm of emh does not conform to the stock market realities 其基本的研究思路是:以有效市場假說和分形市場假說為理論基礎(chǔ),結(jié)合中國股票市場的現(xiàn)實(shí)情況(中國股票市場收益率不符合正態(tài)分布,市場屬于分形結(jié)構(gòu)),以分形統(tǒng)計(jì)學(xué)的相關(guān)方法為手段,對(duì)我國滬、深兩市的有效性進(jìn)行實(shí)證檢驗(yàn),力圖對(duì)中國股票市場的有效性做出客觀真實(shí)的評(píng)價(jià)。