Title :
Analysis on China´s Capital Market Form through Hurst Exponent
Author_Institution :
Sch. of Finance, Remin Univ. of China, Beijing
Abstract :
Fractal theory becomes a frontier field of economic research and application. This paper introduced the properties of fractal time series and the calculations methods of Hurst exponent. The author also applied R/S analysis for the analysis of China´s capital market. Finally, the basic fractal theories regarding the capital market are summarized on the basis of positive analysis.
Keywords :
economic forecasting; fractals; time series; Hurst exponent; capital market; economic research; fractal theory; fractal time series; Brownian motion; Chaos; Finance; Fractals; Statistics; Stochastic processes; Capital market; Fractal theory; R/S analysis;
Conference_Titel :
Natural Computation, 2008. ICNC '08. Fourth International Conference on
Print_ISBN :
978-0-7695-3304-9
DOI :
10.1109/ICNC.2008.465
