文档介绍：基于分形市场理论的封闭式基金业绩和风险评价研究
南京财经大学硕士学位论文基于分形市场理论的封闭式基金业绩和风险评价研究姓名:余芬申请学位级别:硕士专业:金融学指导教师:顾荣宝2008-12
摘要本文以分形市场理论为基础,研究了我国封闭式基金市场的非线性特征,利用Hurst指数研究了基金的业绩持续性。在多重分形指标的基础上,结合Hurst指数,建立一个新的风险度量指标,利用该指标检验单个封闭式基金的风险水平,由此提出一种选择基金的有效方法。本文的研究工作主要包括以下内容: (1)通过Cajueiro(2005)提出的V/S分析方法,研究我国封闭式基金市场的非线性特征。结果表明,上证基金指数和深证基金指数的收益率序列在不同的时间标度之下具有相同特征指标,即它们具有明显的分形结构,是一个分形市场。同时,上证基金指数的Hurst指数均大于深证基金指数的Hurst指数,这表明就收益率而言,上证基金市场比深证基金市场具有更强的长期记忆性和业绩持续性。(2)利用多重分形的奇异谱分析方法分析了上证基金市场和深证基金市场的多重分形特性。上证基金指数和深证基金指数收益率序列具有多重分形特征,标度不变性达到四个数量级。在差异性分析中,我们发现多重分形谱的形状不随时间标度的改变而改变,但其强度随标度的增大而增强。(3)在多重分形指标的基础上建立一个测量风险的新方法——风险度向量。运用此方法度量我国单个封闭式基金的风险,结合收益率指标,为投资者挑选基金提供一种新的、有效的筛选方法。关键词:分形分析;V/S方法;Hurst指数;多重分形;风险度向量 I
ABSTRACT This article bases on the fractal market theory, studies the non-linear characters of Chinese closed-end fund market. It studies the performance persistence of fund using the Hurst exponent. Based on the multifractal exponent, combined with the Hurst exponent, this article establishes a new method for measuring risk level, in order to test the risk level of single fund and put forward an effective method for choosing fund. The mainly research works are included as following: (1) Using the V/S method, which was proposed by Cajueiro (2005) to study the non-linear characters of Chinese fund market index. The demonstration results indicate that the yield indexes of Shanghai and Shenzhen fund market have the same characters under different time scales, that is, they have obvious fractal structure and they are fractal markets. At the same time, the Hurst exponent of Shanghai fund index is larger than of Shenzhen fund index. This indicates that Shanghai fund market has stronger performance persistence than Shenzhen fund market. (2) Using the singular spectrum method to analyze the multifrctal characters of Shanghai and Shenzhen fund markets. It means that there are multifrctals in the fluctuations of Shanghai and Shenzhen fund index and their scale invariance are observed at least four orders of magn