【摘要】：目前對外匯市場的分析研究主要基于有效市場假說和分形市場假說的理論。有效市場理論能夠?qū)ν鈪R市場的有效性進行很好的檢驗,但是并不能很好的描述外匯市場時間序列的分布特征。分形市場理論能夠更加系統(tǒng)科學(xué)地描述和刻畫外匯市場時間序列的波動,分形市場理論是對傳統(tǒng)有效市場理論的進一步拓展,并對傳統(tǒng)有效市場理論中一些無法解釋的行為和現(xiàn)象進行了深入的闡釋。 趨勢消解分析法DFA可以有效測定外匯時間序列是否遵循布朗運動。本文利用DFA單分形分析法對基于匯改前后的人民幣外匯市場進行測定,發(fā)現(xiàn)人民幣對美元,日元,歐元,港幣之間的Hurst指數(shù)均不符合一般隨機游走過程理論值0.5,中國外匯市場存在較為明顯的分形特征。另外,實證研究表明2005年匯率改革對中國外匯市場存在一定程度的影響,表現(xiàn)為匯改前后Hurst指數(shù)的顯著波動,外匯市場的有效性得到一定程度的提高。 單分形理論只能描述時間序列波動的宏觀面貌,存在一定的缺陷性。多重分形理論能夠更好地對外匯市場的局部結(jié)構(gòu)特征進行更加細致的分析。本文采用基于滑動窗口的多重分形趨勢消除分析法(MFDFA)研究中國外匯市場匯率中間價時間序列的多重分形特征,發(fā)現(xiàn)人民幣匯率時間序列的廣義Hurst指數(shù)h(q)均隨著q的增大而減少,同時我們利用滑動窗口MFDFA計算出的h(q)值比傳統(tǒng)MFDFA普遍都要大,且隨q的值增大更快的趨向穩(wěn)定值,能夠更好地刻畫外匯市場價格波動的持久性特征。我們對人民幣外匯市場的多重分形特征進行譜分析和成因分析,可以發(fā)現(xiàn)匯率的多重分形譜均為單峰鐘形圖像,而多重分形特征是由序列的長期相關(guān)與胖尾概率分布共同作用形成,重排和替代序列的多重分形譜寬度要顯著小于原始序列,而對序列進行極端值剔除,進行EV重排之后,其多重分形特征最弱,接近于一般隨機游走過程。 對外匯市場時間序列進行單分形和多重分形分析,我們能夠更好地理解中國外匯市場人民幣匯率交易活動之間的一些內(nèi)在關(guān)系,這對于我們深入研究和解釋實際的匯率交易活動具有相當重要的現(xiàn)實意義。
[Abstract]:At present, the analysis of foreign exchange market is mainly based on the efficient market hypothesis and fractal market hypothesis. The efficient market theory can well test the effectiveness of foreign exchange market, but it can not describe the distribution characteristics of foreign exchange market time series. Fractal market theory can describe and depict the fluctuation of foreign exchange market time series more systematically and scientifically. Fractal market theory is a further development of traditional efficient market theory. And some inexplicable behaviors and phenomena in traditional efficient market theory are explained in depth. Trend resolution analysis (DFA) can effectively determine whether foreign exchange time series follow the Brownian motion. This paper uses the DFA single fractal analysis method to measure the RMB foreign exchange market before and after the exchange rate reform, and finds that the RMB is relative to the US dollar, Japanese yen, and the euro. The Hurst index between Hong Kong dollars does not accord with the theoretical value of the general random walk process. There are obvious fractal characteristics in the foreign exchange market of China. In addition, the empirical study shows that the exchange rate reform in 2005 has a certain degree of influence on China's foreign exchange market, which shows that the Hurst index fluctuates significantly before and after the exchange rate reform, and the effectiveness of the foreign exchange market is improved to a certain extent. Single fractal theory can only describe the macroscopic appearance of time series fluctuation, and it has some defects. Multifractal theory can better analyze the local structure of foreign exchange market. In this paper, the multifractal trend elimination method based on sliding window is used to study the multifractal characteristics of the intermediate price time series in China's foreign exchange market. It is found that the generalized Hurst index h (q) of the RMB exchange rate time series decreases with the increase of Q. At the same time, the value of h (q) calculated by sliding window MFDFA is larger than that of traditional MFDFA, and tends to be stable faster with the increase of Q value, which can better depict the persistent characteristics of foreign exchange market price fluctuation. We analyze the multifractal characteristics of the RMB foreign exchange market by spectrum analysis and cause analysis. We can find that the multifractal spectrum of the exchange rate is a single-peak bell image. The multifractal feature is formed by the long-term correlation of the sequence and the fat-tailed probability distribution. The multifractal spectrum width of the rearrangement and replacement sequence is significantly smaller than that of the original sequence, but the extreme value of the sequence is eliminated and the EV rearrangement is carried out. Its multifractal feature is the weakest, which is close to the general random walk process. By using single-fractal and multifractal analysis of the time series of foreign exchange market, we can better understand the internal relationship between RMB exchange rate trading activities in China's foreign exchange market. This is of great practical significance for us to study and explain the actual exchange rate trading activities.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.6;F224

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