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Fractal Market Theory In The Financial Derivatives Market

Posted on:2008-09-09Degree:MasterType:Thesis
Country:ChinaCandidate:X R LiFull Text:PDF
GTID:2199360215998805Subject:Finance
Abstract/Summary:PDF Full Text Request
Mandelbrot discovered that stock return rate was not coincident with the theory of normal distribution by studying the volatility regularity of stock price's temporal series; therefore he advanced the theory that utilizing the fractal series described the stock yield series return rate series and connected the fractal theory with financial market, forming the Fractal Market Theory.This article mainly puts Rescaled range analysis and Hurst exponent in the system of Fractal Theory into the analysis field of stock index futures market, thus I draw a conclusion that the series of Hang Seng index and Hang Seng index futures both obviously present fractal features: Chinese stock market is a burgeoning one though, in which both Shanghai index and Shenzhen index present fractal features. Hu_Shen300 index which is the initial stock index futures underlying, promoted by china soon, similarly presents evident fractal features。What's more, the article introduces the fractal market theory into the analysis of the stock index futures market and forms a new analytic method, which is about to be used for reference to not only more mature index futures market but the Hu_Shen300 index futures in china.Meanwhile, on the basis of Brownian motion theory, this paper popularized the Black-Scholes formula, and then put forward another relative theory of Fractal Black-Scholes formula. His performance tested and verified that the result of the popularity was closer to the market and more conformable to practice.
Keywords/Search Tags:Stock Price Index Futures, Fractal Market Theory, Hurst Exponent, Rescaled Range Analysis, Fractal Black-Scholes formula
PDF Full Text Request
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