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基于修正高阶DFA法的股市长期相关性检验

赵巍, 何建敏

赵巍, 何建敏. 基于修正高阶DFA法的股市长期相关性检验[J]. 北京航空航天大学学报社会科学版, 2010, 23(1): 57-60.
引用本文: 赵巍, 何建敏. 基于修正高阶DFA法的股市长期相关性检验[J]. 北京航空航天大学学报社会科学版, 2010, 23(1): 57-60.
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ZHAO Wei, HE Jian-min. The Modified High Order DFA Test of Long-range Correlations in Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2010, 23(1): 57-60.
Citation: ZHAO Wei, HE Jian-min. The Modified High Order DFA Test of Long-range Correlations in Stock Market[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2010, 23(1): 57-60.
shu

基于修正高阶DFA法的股市长期相关性检验

  • 1.

    淮海工学院 商学院, 江苏 连云港 222001


  • 2. 东南大学 经济管理学院, 江苏 南京 210096

基金项目: 国家自然科学基金资助项目(70671025);淮海工学院引进人才科研启动基金资助项目(KQ090 12);淮海工学院人文社会科学研究资助项目(KX08057)
详细信息
    作者简介:

    赵巍(1980-),男,江苏连云港人,讲师,博士,研究方向为金融复杂性和金融工程.

  • 中图分类号: F830.91

The Modified High Order DFA Test of Long-range Correlations in Stock Market

  • 1.

    School of Business, Huaihai Institute of Technology, Lianyungang 222001, Ch ina

摘要

    摘要
  • 摘要: DFA法是检验非平稳时间序列长期相关性的有效方法,但当时间序列包含高阶趋势时,DFA方 法在较小标度上会产生偏差。从分析长期相关性的本质内涵出发,引入一种修正的DFA 方法来改进这一不足。基于中国股票市场的实际数据,发现修正DFA方法较好地纠正了偏差 ,准确检验到中国股市存在的长期相关行为。
    Abstract: The DFA method is an efficient method to test the long-range correlations in no n-stationary time series, which will induce bias in small scale when the series have high order trend. From the basic standpoint of long-range correla tion, a modified DFA method is used to solve the drawback. Based on the real da ta of Chinese stock markets, the new method removes the bias and exactly tesitfi es the long-range correlations behaviour in our stock markets.
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    • 参考文献(23)
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出版历程
  • 收稿日期:  2008-09-21
  • 发布日期:  2010-01-24

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