R/S分析的理论基础:分数布朗运动

R/S分析的理论基础:分数布朗运动 Theoretical Basis of R/S Analysis: Fractional Brownian Motion 徐绪松 XU Xu-song~1 1 2 3 first-author 马莉莉 MA Li-li~1 1 2 3 陈彦斌 CHEN Yan-bin~2 1 2 3 武汉大学商学院技术经济及管理研究所 武汉大学商学院技术经济及管理研究所 Institude of Technology Economics and Management,Business School, Wuhan University Institude of Technology Economics and Management,Business School, Wuhan University 中国人民大学经济学院,湖北,武汉,430072 中国人民大学经济学院,湖北,武汉,430072 School of Economics,Remin University School of Economics,Remin University ,北京,100872 ,北京,100872 探讨了R/S分析方法的理论基础.指出稳定的Levy分布作为R/S分析的理论基础有重大缺陷,分析了分数布朗运动与R/S分析在含义和逻辑上的紧密联系,提出了分数布朗运动是R/S分析的理论基础的观点.最后,对我国上海股票市场进行了实证分析,其检验结果证实了本文提出的观点. This paper discusses the theoretical basis of R/S analysis profoundly. There is great mistake to take the stable levy distribution as the basis of R/S analysis. However, Fractional Brownian Motion （FBM） and R/S analysis have close relationship not only on implications but also on logic. Therefore, we can view the FBM as the basis of R/S analysis. Finally, we propose an empirical study on Shanghai stock market in China. The results of the empirical tests support our viewpoints. 非线性 Levy分布 分数布朗运动 R/S分析 nonlinearity Levy distribution fractional Brownian motion R/S analysis F224 国家教育部博士点基金资助项目（01JB630009）;国家自然科学基金资助项目（70373018;70403020） 2004-05-01 2021-04-01 5