Title: Empirical Study on the Fractal Feature of Chinese Exchange Bond Market
Abstract: Fractal character widely exists in nature and socio-economic system.Existing studies fasten on stock market and foreign exchange market.This paper studies the fractal character of an important part of Chinese financial market,i.e.,the exchange bond market.The result displays that China exchange bond market price fluctuation is processed by fractional Brownian Motion,the orbit is Stable Pareto Distribution withα2 character and fractal character exists in the in-sample different time span returns of exchange bond market.Since fractal models can provide us much information about volatility, we suppose the associated research between fractal and risk management would be significative.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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