本文關(guān)鍵詞： 滬深300股指期貨 分形市場(chǎng)假說(shuō) 有效市場(chǎng)假說(shuō)　出處：《南京大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：作為現(xiàn)代金融研究的理論基礎(chǔ),有效市場(chǎng)假說(shuō)的假設(shè)條件與實(shí)際情況并不完全相符,且無(wú)法解釋許多現(xiàn)實(shí)存在的現(xiàn)象。資本市場(chǎng)的本質(zhì)是非線性復(fù)雜系統(tǒng),而在非線性理論之中,分形理論具有廣泛適應(yīng)性與實(shí)用性。它在金融領(lǐng)域形成的具體應(yīng)用被稱(chēng)之為分形市場(chǎng)假說(shuō)(Fractal Market Hypothesis,FMIH)。對(duì)于中國(guó)證券市場(chǎng)而言,滬深300股指期貨的正式運(yùn)營(yíng)代表著一個(gè)全新金融工具的出現(xiàn),可以期待它在將的來(lái)的某一天充分發(fā)揮成熟的股指期貨市場(chǎng)所具備的套期保值、價(jià)格發(fā)現(xiàn)、風(fēng)險(xiǎn)規(guī)避三大功能。本文借助分形市場(chǎng)假說(shuō)相關(guān)理論、方法與工具對(duì)滬深300股指期貨市場(chǎng)進(jìn)行研究。首先闡述了有效市場(chǎng)假說(shuō)與分形市場(chǎng)假說(shuō)的起源、發(fā)展、理論模型及適用范圍,并將兩者進(jìn)行對(duì)比,認(rèn)為分形市場(chǎng)理彌補(bǔ)了有效市場(chǎng)假說(shuō)脫離真實(shí)市場(chǎng)的缺陷、是有效市場(chǎng)假說(shuō)的拓展、為金融市場(chǎng)研究開(kāi)拓了新的方向。隨后通過(guò)描述性檢驗(yàn)、J-B檢驗(yàn)和QQ圖、L-B檢驗(yàn)和BDS檢驗(yàn)、STABLE分布參數(shù)對(duì)比、R/S分析等方法,說(shuō)明該市場(chǎng)中存在非線性、自相似性、長(zhǎng)記憶性的分形特征�？梢哉J(rèn)為滬深300股指期貨市場(chǎng)是一個(gè)分形市場(chǎng),其循環(huán)周期約為198天。本文還通過(guò)改進(jìn)盒計(jì)數(shù)法、MF-DFA方法對(duì)樣本的整體特征進(jìn)行度量,證明了滬深300股指期貨市場(chǎng)上存在多重分形結(jié)構(gòu),小幅波動(dòng)具有(更強(qiáng)的)持久性特征,大幅波動(dòng)具有(更強(qiáng)的)反持久性特征。然后運(yùn)用控制變量法與MF-DFA方法結(jié)合,探究了滬深300股指期貨市場(chǎng)多重分形結(jié)構(gòu)的成因,結(jié)論是長(zhǎng)記憶性、厚尾性和極端波動(dòng)均是該市場(chǎng)存在多重分形特征的成因,其中厚尾性起的作用最大。最后推測(cè)了該市場(chǎng)存在分形結(jié)構(gòu)的具體原因。
[Abstract]:As the theoretical basis of modern financial research, the hypothesis conditions of efficient market hypothesis are not completely consistent with the actual situation, and can not explain many phenomena existing in reality. The essence of capital market is a nonlinear complex system. In the nonlinear theory, fractal theory has wide adaptability and practicability. Its specific application in the financial field is called fractal Market hypothesis. The official operation of Shanghai and Shenzhen 300 stock index futures represents the emergence of a new financial instrument. It can be expected to give full play to the hedging and price discovery in the mature stock index futures market one day. With the help of the theory of fractal market hypothesis, this paper studies the stock index futures market of Shanghai and Shenzhen 300 by means of methods and tools. First of all, the origin and development of efficient market hypothesis and fractal market hypothesis are expounded. The theoretical model and the scope of application are compared, and it is considered that the fractal market theory makes up the defect of the efficient market hypothesis from the real market, and it is an extension of the efficient market hypothesis. This paper opens up a new direction for the study of financial market. Then, by means of descriptive test J-B test, QQ diagram L-B test and BDS test comparing the distribution parameters of STABLE with R / S analysis, it is shown that there are nonlinear and self-similarity in this market. It can be considered that the Shanghai and Shenzhen 300 stock index futures market is a fractal market with a cycle period of about 198 days. This paper also measures the overall characteristics of the samples by the improved box counting method and MF-DFA method. It is proved that there is multifractal structure in Shanghai and Shenzhen 300 stock index futures market. Small volatility has (stronger) persistence feature, and large volatility has (stronger) anti-persistence feature. Then the control variable method is combined with MF-DFA method. This paper probes into the causes of multifractal structure of Shanghai and Shenzhen 300 stock index futures market. The conclusion is that long memory, thick tail and extreme fluctuation are the causes of multifractal characteristics in this market. The effect of thick tail is the most important. Finally, the specific reason of fractal structure in this market is inferred.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F224;F724.5
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本文編號(hào)：1508106