股指的分形布朗运动模型和Hurst指数与转移概率
Fractal Brownian Motion Model and Its Hurst Exponent and Transition Probability

作者: 傅勐哲 , 梁世东 :;

关键词: 分形布朗运动Hurst指数重标极差分析法转移概率Fractal Brownian Motion Hurst Exponent Rescaled Range Analysis Transition Probability

摘要:

股指时间序列被发现具有分形特性,基于分形市场假说,本文将建立一个分形布朗运动模型来描述股指的波动,通过比较模拟时间序列与实际股指序列的Hurst指数,估算出股指序列的转移概率。

Abstract: The stock index sequence was discovered to have fractal Brownian properties. We propose a fractal Brownian motion model to describe the stock index fluctuation based on the fractal market hypothesis. Through comparing the Hurst exponents of the fractal simulation sequence and the realistic stock index se-quence, we obtain the transition probability of the stock index sequence.

文章引用: 傅勐哲 , 梁世东 (2011) 股指的分形布朗运动模型和Hurst指数与转移概率。 应用物理, 1, 97-101. doi: 10.12677/app.2011.13016

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