• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文会议>The Fourth International Conference on Systems Science and Systems Engineering (ICSSSE'03); Nov 25-28, 2003; Hong Kong SAR, China >Hurst Index research on volume-based stock price
【24h】

Hurst Index research on volume-based stock price

机译：赫斯特指数基于数量的股票价格研究

获取原文
获取原文并翻译 | 示例
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Traditionally, the research on the stock market was based on stock price in calendar time. Without taking into account of the crucial factor of trading volume, the analysis will be more complex. We construct a continuous transfer function between calendar-based stock price and volume-based stock price in the person of the thinking about entropy and concert of volume and price. This combines the trading volume into calendar-based stock price and a new stock price series is produced. Afterwards, the behaviors of individual stock in Shanghai Stock market in China are discussed depending on R/S analysis, which based on the new stock price series. It indicates that Hurst index in Shanghai Stock market is more than 0.5 and the stock prices are fractal time series, they are expressed the character system brought by nonlinear random walking period, and there does not exist obvious cycle in a short period.
机译：传统上，对股票市场的研究是基于日历时间的股票价格。如果不考虑交易量的关键因素，分析将更加复杂。在考虑量的熵和量价齐心的人的基础上，构造基于日历的股价和基于体积的股价之间的连续传递函数。这会将交易量组合到基于日历的股票价格中，并生成一个新的股票价格序列。然后，基于R / S分析，基于新的股票价格序列，讨论了中国上海股票市场中单个股票的行为。这表明上海股市的赫斯特指数大于0.5，股价为分形时间序列，表示非线性随机游走周期带来的特征系统，短期内不存在明显的周期。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号