Research Of The Linkage Of Security Market's Factors Based On The Fractal Theory

Although as a basis of the efficient market hypothesis,the modern financial analysis system is not efficient enough to study the financial market.With the rapid development of the nonlinear science,especially after Peter's summarization of the fractal theory which was put forward by Mandelbrot's fractal theory,the fractal theory has been widely used in dealing with the movement of the security market. But these researches mostly are limited to the research on some aspects of security market,and neglect research on the linkage of security market's factors.So present research result can't make accurate,clean and comprehensive description on the dynamics of security market.Shanghai and Shenzhen's security market's factors such as market prices and trade volume,has been comprehensively studied by the fractal theory and fractal market hypothesis.Especially,the linkage of security market's factors has been researched and the linkage of security market's factors based on the fractal theory has been firstly proposed by this paper.Firstly,the result of R/S analysis shows that Chinese security market has obvious long-memory dynamics,with Hurst index more than 0.5,which indicates has clear fractal properties.Secondly,we find some factors which has the similar changes of neighborhood space density in the same neighborhood space,in this paper we called these factors as" Related attribute Group".And then,we can get some important conclusion by analyze the "Related attribute Group" with fractal market hypothesis.These conclusions not only show the common characteristics of the Chinese security market and the market which is described by fractal market hypothesis,but also show the Chinese security market's own characteristics.