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英文摘要 Abstract


Abstract The Efficient Market Hypothesis (EMH) is the theoretical basis of modern financial markets. Capital market pricing model (CAPM), modern portfolio theory (MPT) and the arbitrage pricing theory (APT) are based on the EMH. However, the presupposition of EMH is too idealized, which is contrary to the factual market situation; therefore, to vary degrees, the EMH and other capital market theories based on EMH are all questioned and challenged. Meanwhile, instability and the irregular in the market should be taken into consideration, which can enable people deeply understand more accurate and visual characteristics of market. Thus, fractal market hypothesis (FMH) broke through the limitation and came into being. FMH is a nonlinear analysis method, which is an effective tool applied on analyzing nonlinear and complex market. The emergence of FMH not only change people's cognition of the statistical properties of the market in the past, also make a better explanation for the market "anomalies" as well as the market anomalies having practical significance for the market supervision and regulation. This article first departure from the cornerstone linear theory - the Efficient Market Hypothesis (EMH), and develop a brief introduction for the formation and development, and pointed out the underlying assumption defects, which need to use nonlinear methods to study the market. And then it describes the basic content of the fractal theory and the efficient market hypothesis and makes a further comparison for the efficient market hypothesis and the fractal market hypothesis, which point out the advantages and significance of the latter. Next the rescaled range analysis (R / S analysis) is introduced, which is a rigorous and robust statistical methods for fractal theory on analyzing the nonlinear market. International crude oil market is also a nonlinear dynamical system featured by fractal. Therefore, the R / S analysis method is used in this paper, which makes an empirical analysis on the specific representative on the international crude oil market, Brent and WTI crude oil price system (select the relatively long time span of sample data, approximately 19 years) and explores the possible existent Fractal characteristics. The results show that the Brent and WTI crude oil prices are with fractal features of the self-similarity, persistence and long-term memory. by the comparison of the two crude oil prices, under different time scales, the Hurst index of Brent is larger than WTI, which illustrate that Brent fractal characteristics is more obvious Keywords: Fractal characteristics; R / S analysis method; Hurst index


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