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标度无关性是广泛存在于自然界系统甚至于经济金融系统可观测量的幂函数关系 ,它揭示了股票市场波动的金融复杂性 .在分析股市波动标度无关性及其非趋势波动分析 DFA算法基础上进行了应用研究 ,( i)将 DFA推广为动态递推算法 ;( ii)对国内若干股价指数进行标度指数实际计算 .结果表明 ,递推 DFA算法与 DFA算法、重标极差 R/S分析方法相比具有计算速度快、内存容量小的优点 ,更能适应股市波动分析的实际需要 .国内股市波动的标度无关性分析表明 ,沪深股市具有持久性 ,在重大金融事件的作用下 ,对于股市的影响是长期的
Scale independence is a power function relationship that exists widely in observable quantities in natural systems and even in economic and financial systems, and it reveals the financial complexity of stock market volatility.When analyzing the independence of volatility scales and the non-trend volatility analysis based on the DFA algorithm (I) The DFA is extended to a dynamic recursive algorithm; (ii) The actual calculation of some domestic stock price indices is carried out. The results show that recursive DFA algorithm and DFA algorithm, S analysis method has the advantages of fast calculation speed and small memory capacity, which can better adapt to the actual needs of the stock market volatility analysis.The scale-independent analysis of domestic stock market volatility shows that the Shanghai and Shenzhen stock markets are durable and have a significant impact on major financial events Under the influence of the stock market is long-term