The Complex Study Of Chinese Stock Market Based On Fractal R/S

The fractal theory has provided the important theoretical foundation for us to learn the complexity and non-linear theory. It is one kind of the non-linear theory which has been developed only for several decades. It has already been the effective analyzing tools in the non-linear theory of the capital market because of the reason that it can effectively explain a lot of extremely complex and variable problems in the nature and economic phenomenon. This text has made an empirical study for our national stock market utilizing R/S analytical method in the fractal theory in order to reveal the fractal characteristics for our national stock market. The fractal concept and R/S analytical method have also offered a kind of analytical method for us to describe the complexity of the things and process. Firstly, the text has simply elaborated the fractal theory and some essential features of complexity meanwhile introducing some kinds of complexity theories in detail such as the fractal theory with the brief introduction for fractal theory, fractal definition and R/S analytical method etc. Then it has retrospected the capital market theory, effective market theory, fractal market theory also including the comprision between the effective market theory and fractal market theory. SAS procedure has been written for the empirical analysis using the method of the stability test, distribution characteristic test and fractal test in Chapter 4. We have discovered that the income sequence of Chinese exponential sequences demonstrates the complex fractal and non-linear characteristics. The stock market is actually a non-linear complex system, so we have introduced a new non-linear normal form, namely studying the capital market with the complexity theory. The fractal dimension exponential which was gained from the fractal rescaled range (the R/S method) has proved that Chinese stock market possesses the fractal characteristic. Therefore, we have drawed the conclusion that no matter composite indexes, trade index or personal share, their time series of yield rate are all successive in the different time increment in the sample capacity while H index is about 0.62. The average circulation cycle of B composite indexes of Shanghai Stock Exchange is about 160 days while the average circulation cycle of B composite indexes of Shenzhen Stock Exchange is about 120 days. The average circulation cycle of the petrochemical industry trade and financial trade is 120 days, and the average cycles of Lianhua Gufen and Nanbo Gufen are 125 and 160 days. Chinese stock market has taken on an obvious fractal structure and also long term memory, and it has already passed the empirical test. Chinese capital market has presented the fractal characteristic as a whole also with the characteristic of complexity.