重分形交叉相關(guān)性研究及其在金融時(shí)間序列上的應(yīng)用.pdf

1、北京交通大學(xué)碩士學(xué)位論文重分形交叉相關(guān)性研究及其在金融時(shí)間序列上的應(yīng)用姓名：趙曉軍申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：商朋見201106j墾塞交望太堂亟堂僮!僉塞△墾苧!B△￡!ABSTRACThrecentyears，themultiftactal卸t0correlation加dcross—C0盯elationanalysisinComplexsystemshaVebeenextensiVelystudied，mn西ng

2、f而mhydrology，meteorology，biolo西calmedicine，tosociology，andeConomicfjeldshthep叩er，wefbcIIsonthemulti覷科alcrosscorrelation鋤alysis觚dstudyitsapplicationOnthe緬ancialtimeseries，mainlyincluding：(1)weintroduccthedassical卸toConcla

3、tion，crossC0rrelationcoef!￡icientaIldmult泊actaldetrendedcrosscorrclation卸alysisofdiscretec弱e，genemlizeittocontinuouscase：(2)Deducethesupe巾ositionf0姍ul勰ofauto—correlationandcfossC0盯elationfunctions；(3)Employempiricalmoded

4、ecomposition鋤dFourierfilteringtominimizetheeffectsofextemaltIends0nthedetection0flongrangescalingbehavior；(4)wealsoinVestigatetheefIectsoftimedelayonthescalingexponentaswenasmulti仃actality；(5)w色systematicallystudytheloga

5、rithmicretumandVolatilityofShanghaiandShenzhenstockmarketsinChina；(6)Atlast，wedescribetheextremeeVentsofVolatilityintwomarketsbyt、Ⅳotuples，ieextremeValue觚dretumintervalFUnhe冊(cè)ore，theprobabilitydensityfunctionoffespectiVeV