首页> 中文期刊> 《系统工程学报》 >我国股市不同行业板块多标度奇异性特征比较

我国股市不同行业板块多标度奇异性特征比较

             

摘要

Using fractal tools, the multi-scaling properties of different industry segments in Shenzhen stock market of China were quantitatively studied and described. The parameter a0, asymmetry coefficient B and the spectrum width W are derived. By comparing one-dimensional, two-dimensional and three-dimensional measuring indices of different industry segment it is found that financial industry, electronics industry and farming and forests industry are characterized with high a0, high W and higher B. These features explain that the price fluctuations of these industries are more complex than those of the others. Therefore, this set of multifractal parameters can reveal the complexity of different industries segments well.%借助于分形工具,对我国深圳股票市场不同行业板块的多标度特性进行了定量分析和描述,得到了谱参数α0,偏斜系数B及谱宽度W三个多标度测度指标,对不同行业板块不同测度指标分别进行一维,二维及三维的比较,发现以金融,电子,农林等为代表的行业板块其测度指标表现为高α0值,高W值及相对较高的B值,说明该类板块的价格波动更为复杂和剧烈,由此说明将谱参数,偏斜系数及谱宽度三个测度指标相结合可以很好地揭示不同行业板块的复杂特性.

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