High-frequency data biased random walk behavior of R / S analysis

摘要：

For the financial market research, Fractal Mark-et Hypothesis established a more general and more realistic theoretical framework. Biased random walk is more meet with market behavior. In this paper, R/S analysis high freq-uency characteristics of the CSI 300 Index, and eliminating the impact of exponential autoregressive, with residuals for further analysis, and further test and verify the high freque -ncy data is agree with biased random walk behavior.

作者: Chaojie Zhang Guangle Yan

作者单位: School of Management，Shanghai University of Science and Technology Shanghai，china

会议类型: 国际会议

会议名称: 4th Conference on System Science,Management Science & System Dynamics(第四届系统科学、管理科学&系统动力学国际会议)

会议地点: 上海

会议语种:英文

页码: 81-86

在线出版日期: 2010-12-10（万方平台首次上网日期，不代表论文的发表时间）