DocumentCode
3599214
Title
Analysis on China´s Capital Market Form through Hurst Exponent
Author
Liu, Wei
Author_Institution
Sch. of Finance, Remin Univ. of China, Beijing
Volume
4
fYear
2008
Firstpage
605
Lastpage
608
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Natural Computation, 2008. ICNC '08. Fourth International Conference on
Print_ISBN
978-0-7695-3304-9
Type
conf
DOI
10.1109/ICNC.2008.465
Filename
4667355
Link To Document