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Empirical Study On Stock Market In China With Fractal Market Theory

Posted on:2007-10-13Degree:MasterType:Thesis
Country:ChinaCandidate:X D ShenFull Text:PDF
GTID:2189360182987481Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
Efficient market hypothesis (EMH) is one representative theory of rational expectations theory. It became a foundation of quantitative capital market theory quickly since it was brought forward. Although there were some problems in describing capital market by it, people usually ignored them. With chaos being realized and understood, especially with chaos characteristic of financial market being found, people put more suspicious eye on EMH. At the same time, people began to explain and analyze behaviors of capital market using nonlinear theory, and obtained some outcomes. Because it can describe various phenomena of capital market well, it received recognition. Fractal market theory is one representative theory of nonlinear theory. Fractal market theory regards price series of capital market as a fractal time series, so it should be studied by fractal theory. People usually study capital market based on EMH in China. Although some researchers attempt to study Chinese capital market by using fractal market theory, because of lacking accurate datum, they didn't represent the fractal structure of our capital market completely. Aiming at these disfigurements, this paper analyzes limitation of EMH briefly and represents fractal market...
Keywords/Search Tags:EMH, FMH, long memory, ARFIMA, FIGARCH, VaR
PDF Full Text Request
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