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本文对上证指数收盘指数的收益率进行统计性描述,发现其呈现“尖峰胖尾”现象;采用Hurst指数检验法,运用软件分析出上证指数存在多重分形波动特征。并采用多重分形区趋势法(MF-DFA法),做出上证指数收益率序列的多重分形谱f(α)与奇异指数α的关系图,得出我国股票存在多重分形现象,有着显著长记忆性,且效果图优于文[5],进而说明时间的选取影响着分形效果。
In this paper, the rate of return of the closing index of the Shanghai Composite Index is statistically described and it is found that the phenomenon of “peak fat tail” appears. Using the Hurst index test method, the software is used to analyze the multifractal fluctuation characteristics of the Shanghai Composite Index. The multifractal trend (MF-DFA) method was used to make the multifractal spectrum f (α) and the singular index α of the yield series of Shanghai Stock Index. The result shows that the stock in our country has multifractal phenomenon and has significant long memory Sex, and renderings better than the text [5], which shows that the timing of the selection of the fractal effect.