中国股票市场多重分形游走及其预测

Abstract

Abstract: Forecasting is based on the rule of price fluctuation.Multifractal process is the best model describing the price fluctuation property up to now.This paper verifies the multifractal walk of our country’s stock market.And according to the local scale porperty and multiscale correlation of multifractal process,we build a hybrid forecasting model integrating the wavelet and neural network.Case study shows thaf this forecasting model is better than other forecasting models based on tradicitional price fluctuation model.

Key words: multifractal, wavelet packet, neural network, stock market, forecast

CLC Number:

F830.9

HE Jian-min, CHANG Song. Chinese Stock Market’s Multifractal Walk and Forecasting[J]. Chinese Journal of Management Science, 2002, (3): 11-17.

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Chinese Stock Market’s Multifractal Walk and Forecasting

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