時間序列波動特徵研究

Chia Nan University of Pharmacy & Science Institutional Repository > 智慧生活學院 > 資訊管理系 > 校內計畫 > Item 310902800/9923

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標題:	時間序列波動特徵研究
作者:	蘇致遠
貢獻者:	資訊管理系
關鍵字:	Multifractal Stock Market Econophysics
日期:	2008
上傳時間:	2009-02-20 11:44:04 (UTC+8)
出版者:	台南縣：嘉南藥理科技大學資訊管理系
摘要:	This paper analyzes the minute-by-minute variations of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) over eight years using box-counting multifractal spectra . The results reveal that the daily return R is directly correlated with the absolute value of for that day, while a positive or negative sign of is related to an increasing or decreasing return, respectively. The gain probability (G%) and index increase probability (N%) attain 65~74% when has a positive value and 8~32% when has a negative value, but both converge toward 50% as the number of days considered when computing the value of increases. With regard to prediction of the future index movement, the results show that the sign sequences of provides a more reliable predictive performance than that of the index variation parameter . The correlation between the risk measurement parameter and the increasing or decreasing tendency of the TAIEX price index is also examined in this paper, and results are opposite to those presented for the SSEC index in China. It is thus suggested that the phenomenon is market dependent.
關聯:	計畫編號：CN9733
显示于类别:	[資訊管理系] 校內計畫

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