Analysis of Fluctuation and Trend of Shenzhen Stock Market Based on ARFIMA

摘要：

The empirical analysis on return series of 5-min high-frequency data of SZCI suggests that there exists the apparent evidence of long-range correlation in the two time series of G and absolute G.The absolute return appears stronger positive persistence than series G.Moreover,it shows that ARFIMA (p,d,q) models can describe properties of return fluctuation more accurately than traditional nonARFIMA (p,q) models,and ARFIMA (p,d,q) models also indicate higher fitting relative to non-ARFIMA models in predicting future return.The further study shows no significant difference between series G and series of absolute G with the apparently different fractional difference parameter d.

关键词： ARFIMA model long-rang correlation fluctuation trend

作者: Duan LIU Shou CHEN Honglin YANG

作者单位: College of Business Administration,Hunan University,Changsha,P.R.China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 455-462

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）