Then r / s analysis, phase space reconstruction of the system, chaos analysis and fractals analysis are done through matlab program, based on original data of hushen stock markets compositive index from year 1991 to year 2002. and the author draws a conclusion based on original data that china ' s stock market obeys low - dimension fractals and ebb - chaos in terms of the experimentation result : hurst exponents are between 0 and 1, memory cycles are obvious, lyapunov exponents are more than zero and chaotic attractors correlative dimensions are between 2 and 3 in hushen stock markets in this thesis the concept information noises is put forward. stock market information about policy and company of the last ten years is packed up and classified for regulators make decisions in terms of power the factor influences the stock market index
之後文章以中國股市1991年至2002年上海和深圳綜合
指數每日收盤價原始數據為研究對象,在matlab程序實驗條件下,進行了兩地股市系統的r / s分析、系統相空間重構、混沌分析、分形分析;獲取了兩地股市系統的赫斯特
指數(
滬深股市赫斯特
指數均大於0 . 5而小於1 ) 、非周期記憶循環周期(
滬深股市都有明顯的記憶循環周期) 、最大李雅普諾夫
指數(兩市都大於0 )和吸引子的關聯維數(兩市都在2到3維之間) ;從而得出中國股市系統是低維分形的、弱混沌的(基於原始數據)結論。
Recently cffex ( china financial futures exchange co., ltd. ) has announced its shanghai - shenzhen 300 index futures contract
摘要近期中國金融期貨交易所推出了
滬深300
指數期貨合約(徵求意見稿)的條款。
Secondly, theoretical models for time series, such as garch, egarch, tarch and garch - in mean, and the methods of parameter estimation are introduced. then, these models are employed to test the volatility in shanghai a - share, shanghai b - share, shenzhen a - share and shenzhen b - share. next, in chapter 4, we study the co - integration and test the granger causality between the four share indexes. finally, the spillover of volatility between a - shares and b - shares markets are tested
第二,通過模型的比較分析,發現殘差基於t分佈的arch類模型較之基於正態分佈和ged分佈的arch模型能更好地刻畫我國股
指收益率序列的特徵。第三,
滬深a股在兩個階段的變化甚微,保持著非對稱效應,對利空消息的波動大於利好消息的波動,風險補償為正向,且風險補償系數的變化不大。
When volumes in japan finally picked up, they caught the tse off - guard : on a couple of occasions in late 2005 and early 2006 the exchange ' s systems crashed, a deep embarrassment
當東京的交易額最終趕上時,他們(
指滬深兩地)以對東京證券交易構成攻其不備之勢:在2005年末2006年初數次使東京的交易體系崩潰,陷入難以自拔的窘境。
The result shows that both shanghai stock exchange and shenzhen stock exchange have multi - fractal structure, small - scope fluctuation has long - range correlation, large - scope fluctuation has anti - durative, and the fluctuation extent of yield in shanghai stock exchange comprehensive index is more intense than the fluctuation extent of yield in shenzhen stock exchange component index
結果表明我國
滬深股市均具有多重分形結構,小幅波動具有長程相關性,大幅波動具有反持續性,且上證綜
指的波動程度比深成
指數收益率的波動程度強烈。
Using the mfdfa method, with the sequence of yield of the daily closing quotation prices in shanghai stock exchange comprehensive index and shenzhen stock exchange component index during the period of may 3rd, 1991 to april 20th, 2006 as the sample, the author researches the fluctuation character of shanghai and shenzhen stock market
摘要利用多重分形消除趨勢分析方法,以1991年5月3日至2006年4月20日的上證綜
指和深成
指數日收盤價的收益率序列為樣本,研究了我國
滬深股市的波動特徵。
Research of cointegration for the stock index fluctuation of shanghai and shenzhen stock markets
滬深股市股
指波動的協整性研究
Finally, using the 5 minutes intraday data for measuring the market short - term liquidity, we discover that the liquidity of a share market have the reverse " l " sharp, intraday spead have the straight " l " sharp, volatility of retain also have the straight " l " sharp, but intraday volume have the " u " sharp
最後利用日內五分鐘交易數據對市場短期流動性
指標進行了度量與分析,發現
滬深a股市場日內流動性呈現出倒l型,日內價差呈現出正l型,收益率的日內波動也呈現出正l型,日內交易量則呈現出u型。
On the basis of research on index - future ' s traits and functions and learning of the experience of establishing the object index, i proved and testified the characteristics of the object index in china. firstly, i managed to select the sample stocks through the sequence of the listed companies in their negotiable market capitalization and trading amount, and i established 300 integrate index of sh and sz markets, 100 integrate index of sh and sz markets. secondly, i made empirical research on the market characteristics of sh integrate index, sz integrate index, sh 30 index, sz ingredient index, together with the above two indexes
因此本文在研究股
指期貨的功能和特點的基礎上,借鑒國外成功的股
指期貨標的
指數的編制經驗,論證了作為中國股
指期貨標的
指數的特點,嘗試通過上市公司流通市值和成交金額的的名次來選擇樣本股,編制了
滬深300統一
指數,和
滬深100統一
指數,對上證綜合
指數、深圳綜合
指數、上證30
指數和深圳成份股
指數以及
滬深300統一
指數、
滬深100統一
指數的市場特徵進行了實證研究,並採用最小方差模型檢驗了各
指數作為股
指期貨標的
指數的套期保值效果。
Abstract : in this paper we analyse some predictation approaches of random time series and by using arma model we predict effectually the weighted aggregative indexes of securities market in shanghai and shenzhen
文摘:分析了隨機時間序列的統計預測方法,並利用arma模型對深
滬市未來短期
指數進行了有效預報。
Which have been developed, implemented out of last 25 years global economic and daily financial markets stable, under stress crisis, bubble bursts data
經濟成長率
滬深a , b港臺股價
指數,道瓊納斯達
指數模擬分析預測
Workshops by thousands proprietary osa simulation charts supporting daily financial engineering, structural finance application to global capital markets asset management, credit defaults risks control on this website
經濟成長率
滬深a , b港臺日經股價
指數,道瓊納斯達
指數模擬分析預測
Finally, the thesis sets up the model of profit quality evaluation of listed companies. in the part of demonstration, the thesis chooses 40 sample listed companies in shanghai and shenzhen securities business. with these 2000 - - 2002 annual financial reports of the 40 listed companies, it obtains the proportion of the indexes by the means of factor analysis. finally, it ranks the profit quality of the 40 listed companies, analyses the reason the profit quality changes, and verifies the evaluation model by demonstration
選取了
滬、深兩市40家樣本上市公司,以其2000 ? ? 2002年的年報為資料,通過因子分析法來確定上市公司利潤質量評價體系的
指標權重;按照綜合因子得分對這40家上市公司的三年利潤質量分別進行排序,分析其利潤質量變化的原因,從實證角度驗證了模型。
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美國運通美膳會為尊貴會員帶來本港美心集團旗下
指定中菜食府的非凡飲食禮遇,讓您品嘗多款中國各地名菜,包括粵潮京川
滬湘的地道名饌。
Since its foundation, china tietong invested millions of rmb and adopted dwdm to build a high - speed backbone optical transmission network composed of five fiber loops : northeast, northwest, southwest, southeast and beijing - shanghai - guangzhou loop, realizing the unified net control and schedule of the nationwide backbone transmission network
自成立以來,中國鐵通投資數百億元,採用先進的密集波分技術,組建了京
滬穗高速環、西南環、西北環、東北環、東南環等五大骨幹傳輸網路,並且實現全國骨幹傳輸網路的統一網管
指揮和調度。
China ' s stock markets, which went nowhere for years, boomed in 2006 ; the shanghai composite index doubled in value
中國的股票市場全年節節攀升,
滬指一年內翻了一番。
Shanghai and shenzhen stock markets opened today after indexes in the market are cautious psychological impact, 滬 指 am finishing all the way in a pattern of high turbulence and afternoon, the blue chip market in a strong push, 滬 指 effectively broke the 6000 - point level, 滬 指 highest in 6039, the lowest in 5866, overall content can still maintain good, the opener monday to give the market a good confidence evidently, indexes still exists a certain amount of kinetic energy increases
今日滬深兩市股指開盤后,在受到市場的謹慎心理影響,滬指上午一路處于高位震蕩整理格局,而午後,在大盤藍籌股的強勢拉升之下,滬指有效的突破了6000點大關,滬指最高於6039點,最低於5866點,整體量能依然保持良好,周一的開門紅給予市場良好的信心,由此可見,股指依然存在著一定的上升動能。