主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (4): 12-19.

Previous Articles     Next Articles

A DFA Study on the Persistence of Fluctuations in China Stock Market

WEI Yu, HUANG Deng-shi   

  1. School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China
  • Received:2003-06-06 Revised:2004-02-22 Online:2004-08-28 Published:2012-03-07

Abstract: The persistence of fluctuations in Chinese stock market is studied by DFA and R/S techniques.A new persistence pattern and the characteristic time scales of the existence of persistence are also found.Such new tools and empirical results are useful to study the nonlinearity and complexity of Chinese stock market.

Key words: stock market, DFA, R/S, persistence, characteristic time scale, complexity

CLC Number: