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1.On the Fractal Analysis of Listed Military Industry Capital Market

作  者: CHEN Bo,YAN Zhongyong
出  处: 2007 International Conference on Management Science and Engineering
书  号: 978-0-646-47827-2
通过检索: ISTP,ISSHP,SEI
发表日期: 2007年08月
关 键 词: Capital market, Fractal structure, Hurst exponent, Military industry
摘  要: Military industry is a national strategic industry, the operating of military industry capital market influents national defense security. Today, more and more practices have proved that the modern capital market theory based on Efficient Market Hypothesis (EMH) doesn’t accord with fact. Based on the nonlinear model, fractal theory takes account into the complexity of the market and limitation of EMH , can explain many phenomena of market that the efficient market theory cannot explain, and provides new thought and method for us to analyze the capital market deeper. In this paper, some companies of military industry that have been exchanged in the stock market are taken as examples to analyze the fractal structure and fractal dimensions of Chinese military industry capital market. The result find Chinese military industry capital market has fractal structure and the Efficient Market Hypothesis can’t be satisfied.