摘要
在全球金融一体化的大背景下,汇率的变动作为一个重要指标越来越被人们所重视,利用非线性特征来研究汇率问题已经成为研究的前沿和热点,将混沌与分形运用到汇率预测与汇率控制中是汇率研究的一个重要的分支。为此,分析了分形中的R/S方法,研究了转折点的选择;并以外汇市场中的美元、日元、欧元为例进行了实证分析,指出外汇市场服从分形分布;运用该方法对外汇的变化进行分析,不仅得出汇率变化遵循有偏的随机游走,而且还预测出这三种汇率未来的走势。
On the background of financial globalization,fluctuation of foreign exchange rate has been paid more and more attention as an important index.It has been the forefront and hot topic to utilize the features of non-linearity to study the foreign exchange rate.It is a branch of the exchange rate research to apply the chaos and fractal theories to forecast and control exchange rate.This article describes R/S method in the fractal theory and pays more attention to introduce the choice of the turning point;and then it takes the exchange rates of US dollar,Japanese Yen and Euro as examples to carry out positive analysis and concludes that the foreign exchange market is subject to fractal distribution.At last,analysis is carried out for the fluctuations of the exchange market,which not only concludes that the change of exchange rate follows the pattern of biased random walk,but also gives the forecast of the trend of the three exchange rates.
出处
《沈阳工业大学学报（社会科学版）》
2008年第2期135-139,共5页
Journal of Shenyang University of Technology(Social Sciences)
基金
中国博士后基金资助项目(20070411077)
关键词
分形
外汇市场
R/S分析
Fractal
foreign exchange market
R/S analysis
