分形市场假说

本文特别强调，我国加入WTO以后，由于金融市场日趋复杂化，应该着力从有效市场假说（EMH）和分形市场假说（FMH）两方面对金融风险进行多角度的综合测度研究。

This paper especially emphasizes that after joined WTO , our financial market becomes complex day by day , so it is necessary to observe it from both EMH and FMH angle at the same time , and carry out a comprehensive research on financial risk measurement .

有效市场假说（EMH）以线性化的假设来刻画市场，未能准确反映市场的真实特性，而分形市场假说（FMH）的提出可以解决这一问题。

However , the Efficient Market Hypothesis which describes the market basing on linearity hypothesis fails to accurately reflect the real market characteristics . On the contrary , the Fractal Market Hypothesis can be seem as the effective solution to the problem .

基于分形市场假说，本文对传统的CEV（constantElasticityofVariance）期权定价模型进行了改进。

Base on the fractal theory , improved the classic traditional option pricing model-CEV ( constant elasticity of variance ) model which is base on the efficient market hypothesis .

文章回顾了有效市场假说（EMH）和经典资本市场理论的发展史，随后阐述了基于分形市场假说的长期记忆性，并介绍了用于长期记忆性实证研究的R/S分析方法。

This paper recalled the development history of the efficient market hypothesis and the classic theory of capital market , then elaborated the long-term memory theory on the basis of fractal market hypothesis , and introduced the R / S analysis for empirical research on long-term memory .

有效与分形市场假说在中国证券市场实证研究

Empirical Research on Efficient and Fractal Market Hypothesis in China Market

从有效市场假说到分形市场假说

From Efficient Market Hypothesis to Fractal Market Hypothesis

随着金融理论的发展与金融实践的深入，有效市场假说从理论到实践都受到了前所未有的挑战。在这种背景下，以埃得斯·彼得加为代表的金融学家提出了分形市场假说。

With the development of financial theory , efficient market hypothesis takes great challenge in every way .

目前对外汇市场的分析研究主要基于有效市场假说和分形市场假说的理论。

The foreign exchange market analysis is mainly based on the hypothesis of effective market and fractal market hypothesis theory .

通过用分数布朗运动代替几何布朗运动，有效市场假说被拓展为分形市场假说。

Using fractional Brownian motion to replace geometric Brownian motion , the efficient market hypothesis is generalized as fractal market hypothesis .

文章的最后基于有效市场假说和分形市场假说的实证结论，从线性和非线性视角提出了我国股市发展的相关政策建议。

Lastly based on the empirical findings from Effective and Fractal Market Hypothesis , discusses the policy and recommendations of China stock market .

分形市场假说的主要思想可概括为：（1）认为资本市场是一种反馈系统，具有长期的相关性和趋势。

The Fractal Market Hypothesis has five main ideas . Firstly , the Fractal Market Hypothesis think the capital market as a feedback system , which has longtime correlation and trend .

基于实证分析的理论支持需要，接着介绍有效市场理论的内涵和缺陷，并重点介绍分形市场假说对其的挑战。

Then , considering the theory sustain demand of demonstration analysis , it introduces the content , significance and limitation about EMH , mainly recommend the challenge from fractal market hypothesis ( FMH ) .

本文从现代金融学的前沿复杂性科学角度，简要回顾了混沌分形理论以及分形市场假说，我们表明混沌分形理论可以反映金融市场的复杂系统本质。

Starting from the modern financial frontier-complex system we looked back basic approaches and principles of the chaos , fractal theory and Fractal Market Hypothesis . We showed that the chaos and fractal theory could reflect the essence of the financial market as complex system .