【作者】 沈晓栋；

【导师】 赵卫亚；

【作者基本信息】 浙江工商大学 ， 数量经济学， 2006， 硕士

【摘要】 有效市场假说是理性预期学派的代表性学说之一，自提出以后，很快便成为数量化资本市场理论的基石，并在此基础上发展出许多模型来描述市场行为和测度市场风险。虽然人们发现它对市场实际行为的描述有偏差，但通常的做法是回避和忽略。随着混沌现象逐步被认识和研究，特别是对金融市场混沌特性的发现，使人们对有效市场假说的正确性提出了越来越多的质疑。同时开始应用非线性理论去解释、分析资本市场行为，取得了一定成果。由于其很好的反映了金融市场的各种现象，因此逐渐被人们所重视。其中较具代表性的就是分形市场理论。分形市场理论认为资本市场的价格时间序列表现出一种分形特性，因此应该用分形理论去研究。我国一直以有效市场假说为基础进行资本市场的实证研究，虽然近年来一些学者应用分形市场理论进行了一些尝试性的探索，但由于技术上和理论上的不足，并未对我国证券市场做出整体和详细的分形结构描述。本文针对这些不足，在简要分析了传统有效市场理论缺陷的基础上，介绍了分形市场理论及其分析方法。并采用完整的上证与深证日收盘数据作为分析基础，利用典型分形市场分析方法，对我国证券市场进行了完整的分形结构描述，特别是计算了沪、深两市的非周期循环的长度，它可以为政策的制定和投资的决策提供一定的参考。 长期记性特征是分形市场假说下一个非常显著的特征，本文通过对上证综合指数及深圳成分指数收益率序列分阶段建立ARFIMA模型和更多还原

【Abstract】 Efficient market hypothesis (EMH) is one representative theory of rational expectations theory. It became a foundation of quantitative capital market theory quickly since it was brought forward. Although there were some problems in describing capital market by it, people usually ignored them. With chaos being realized and understood, especially with chaos characteristic of financial market being found, people put more suspicious eye on EMH. At the same time, people began to explain and analyze behaviors of capital market using nonlinear theory, and obtained some outcomes. Because it can describe various phenomena of capital market well, it received recognition. Fractal market theory is one representative theory of nonlinear theory. Fractal market theory regards price series of capital market as a fractal time series, so it should be studied by fractal theory. People usually study capital market based on EMH in China. Although some researchers attempt to study Chinese capital market by using fractal market theory, because of lacking accurate datum, they didn’t represent the fractal structure of our capital market completely. Aiming at these disfigurements, this paper analyzes limitation of EMH briefly and represents fractal market更多还原