Fractal Theory And Analysis In China's Stock Market

The purpose of people invest in stock market is to win profit, but the profits and risks appear at the same time. It is hard to find a balance between them. The traditional theory of stock market asserts the stock markets are efficient and stable. The profit is a linear function of risk and the variable of profit is Brownian motion which distribution is independent identically whose expected value and variance are stable. But it isn't true in our real world. The effected factors of stocks market and the relations among these factors are complex and interfered by many elements. The function of profits and risks is nonlinear, unequilibrium, self correlation and unstable. The variable of profit is fractal Brownian motion which has the feature of fractal and chaos.In this paper, I challenge the EMH by analyzing the process of stocks market in China and its traits. From the analysis of the R/S and V statistic, we find it show off the feature of fractal and chaos. By the statistics analysis, we find that these traits are remarkable. Obviously, EMH could not make a better explain to stocks market of China.