Based On Fractal Market Theory Of Financial Volatility

The research to volatility characteristics in financial market is foundation to the problems of capital assets pricing and avoiding strategy of financial risk. The precise description to volatility characteristics in financial market is the precondition of quantitative study to financial market. At most time, the volatility characteristics in financial market have rich and complex representations, researchers are trying to find a variety of methods, and form different angles to study the true volatility characteristics in financial market.This paper focus on study the volatility characteristics of financial time series, gradually to discuss the existed internal rules in financial market by researching fractal market theory ,long memory characteristic and volatility persistence. In the first chapter, it introduces the paper's research background and research areas, it also gives the summative evaluation to the former research and the existed problem in this area. In the second chapter, it summaries the most volatility characteristics in financial market and gives description about these characteristics, and then by expatiating on the efficient market theory and its limitation, it introduces the fractal market theory and study the existed internal rules in financial market. In the third Chapter, by using the former research results, it gives definitions about long memory characteristic and volatility persistence in financial time series area, it also makes comparing and does certain analyzing about the representative long memory time series models. In the fourth chapter, it introduces and summaries the main estimate method about the volatility characteristics in financial market, and it studies the application of ARCH model in estimating the financial volatility and financial time series modeling. In the fifth chapter, it gives the empirical study about the long memory and volatility persistence in China stock market and gets some conclusions. In the final chapter, it makes the summaries about this paper, and rises some research prospect in the area of volatility characteristics of financial time series.