hurst指数 C源代码

上传者: zjhong | 上传时间: 2026-01-20 20:58:39 | 文件大小: 468KB | 文件类型: ZIP
需要编译,作者是qian bo。 Hurst指数可以用于股市大盘走势的判断,非常有用! ---------------------- 重标极差分析法(rescaled range analysis),是混沌理论中一种重要的分析方法,它可以用于检验各种时间序列,并且有个很重要的特点是:对前提条件没有过多的要求[2]。R/S 分析法首先由一位埃及水文工作者赫斯特在研究尼罗河水库的水位时提出的。赫斯特度量了水位是如何围绕其时间上的水平涨落的,他发现涨落的极差是变化的,它依赖于用于度量的时间的长度。如果序列是随机的,极差应该随时间的平方根增加。为了使这个度量在时间上标准化,赫斯特通过用观测值的标准差去除极差来建立一个无量纲的比率,这种方法被成为重标极差分析法[3]。赫斯特发现:大多数自然现象(包括河水流量、温度、降雨、太阳黑子)都遵循一种“有偏随机游走” [4]趋势加上噪声。趋势的强度和噪声的水平可以根据重标极差随时间变化情况来度量。 对于一个样本的子区间:(1)计算其均值: ;(2)计算偏离均值的差值: ;(3)计算偏离均值的累加值 ;(4)计算时子序列的域: ;(5)计算采样子序列的标准差 ;(6)计算子序列重标定域 ;(7)求解赫斯特指数: (H为Hurst指数,C为常数) 。 根据赫斯特指数的含义,时间序列的Hurst指数居于0-1之间。以0.5为间隔,时间序列在不同的区间表现不同的特性: H=0.5,说明股票市场的价格变动是标准的布朗运动,事件的过去不影响未来。 0

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