Research On Price Fluctuations Of China Stock Market Based On Fractal Theory

EMH(efficient market hypothesis) is a prerequisite theory of analyzing the capital market all the time,as one of the foundations stone of modern financial research. EMH is also the core of the theory of quantilfied financial market. But in the financial market, there are a lot phenomenons which EMH cannot explain, a large number of studies have found that there are a lot of facts against EMH. Such as the financial time series show the Short or Long-Term Correlation, the financial price distribution show the feature of skewed and fat-tailed.It's not due to market itself.however, due to the strict hypothesis condition of EMH.With the development of non-linear science and the constant apparent of the complicated feature of economic system, the linear science can't describe the complicacy of financial market any more. More and more scholars use non-linear science, such as Fractal Theory, Chaos Theory, to analyze the financial market.This paper carrys on the analysis of the real example of the stock market of Shanghai and Shenzhen, and also two individual stocks by using the approaches of Fractal Theory. First, we briefly introduce the background, present research at home and abroad of this paper, and the main content and research approaches. Second, it is a overview of EMH and Fractal Theory. In the third part and forth part, we carry on the analysis of the real example of Shanghai and Shenzhen stock market, and also two individual stocks by using fratal approach. At last, it is the conclusion and prospect of this paper.