Hurst Index research on volume-based stock price
会议名称：《The Fourth International Conference on Systems Science and Systems Engineering(ICSSSE’03)》
会议日期：2003年
学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）]
关 键 词：stock index fractal R/S analysis Hurst Index
摘 要：正 Traditionally,the research on the stock market was based on stock price in calendar *** taking into account of the crucial factor of trading volume,the analysis will be more *** construct a continuous transfer function between calendar-based stock price and volume-based stock price in the person of the thinking about entropy and concert of volume and *** combines the trading volume into calendar-based stock price and a new stock price series is ***,the behaviors of individual stock in Shanghai Stock market in China are discussed depending on R/S analysis,which based on the new stock price *** indicates that Hurst index in Shanghai Stock market is more than 0.5 and the stock prices are fractal time series,they are expressed the character system based brought by nonlinear random walking period,and there does not exist obvious cycle in a short period.