A Fractal-Based Simulation Scheme for Securities Business of China

This paper proves that Shanghai securities business is a biased stochastic market with chaos-fractal characteristics by using R/S analysis. The fluctuations of composite index are with obvious self-similarity and long-term memory. The Hurst exponent of Shanghai securities composite index is calculated and a waving period for 450 days in Shanghai securities business is found through the study of V statistics. The stock sequence is reconstructed by using FBM based fractal interpolation algorithm and gaining reasonably accurate replications. Experimental results indicate that the nonlinear dynamical model is more effective to describe the China securities business than the conventional "random walk" theory based stochastic models.