臺灣博碩士論文加值系統

Last few years,the rescaled range analysis has been used to check persistence or antipersistence of a financial time series. The procedure computes the value of the Hurst exponent
H in the formula (R/S)_n = c*(n)^H for the rescaled range
(R/S)_n of a financial time series. If H is very close to 0.5, the time series is probably a random walk process. If H is quite greater than 0.5, it indicates that the time series is probably persistent (long memory). And if H is much less than 0.5, it indicates that the time series is probably antipersistent (mean-reverting). In this thesis, I use this approach to analyze 5 categories of Taiwan listed stocks for the period form January 1, 1991 to December 31, 2000. The results of this approach might provide us with a better understanding of Taiwan stock market.

Contents
1.Itroduction .............................1
2. Literature Review ..................... 3
2.1 Fractal Theory ....................... 3
2.2 Characteristics of Fractal ........... 4
2.3 Rescaled Range Analysis .............. 5
2.4 Hurst Phenomenon ..................... 8
3. Data Analysis ......................... 9
4. Methodology ........................... 11
5. Conclusions ........................... 13
6. Suggestions ........................... 22
Reference ................................ 23

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