有效市场假说与自由市场假说:起源、演化与趋势

Guangyuan Song, Guang Liu
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摘要

分形市场假说(FMH)起源于20世纪60年代,形成于90年代。FMH作为数学金融的前沿理论之一,为非线性动态资本市场提供了新的前景和方法。本文初步分析了有效市场假说与自由市场假说的交叉发展,以及自由市场假说的应用和发展趋势。我们首先阐明了FMH不是替代或替代,而是对有效市场假说的补充,并揭示了它们的内在统一是本质关系。然后我们反复强调,国内的研究大多停留在初级阶段。对市场分形结构的实证分析过多,而对微观原因是什么以及如何根据FMH进行投资组合选择和风险管理的研究相对较少。我们的基本讨论旨在总结FMH不同理论之间的逻辑关系和应用前景。我们谨慎地希望我们的个人观点能够对进一步的研究产生一些指导作用。
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EMH and FMH: Origin, Evolution and Tendency
Fractal Market Hypothesis (FMH) was originated in 1960s and formulated in 1990s. As one of the forward theories in mathematical finance, FMH has offered a new prospect and methodology for the nonlinear dynamical capital market. This paper tentatively analyzes the cross-development between EMH and FMH, as well as the application and tendency of FMH. We firstly clarificate that FMH is not a substitution or alternative but a complement to EMH, and reveal that the intrinsic unity is their essential relationship. Then we emphasize repeatedly that studies of domestic mostly remain at initial stage. There have been too many empirical analyses to demonstrate the fractal structure of market, but relatively too little work of what the microscopic causes are or how to conduct portfolio selection and risk management according to FMH. Our basic discussion is supposed to conclude the logicality between different theories and application prospects of FMH. We hope cautiously that our personal views could inspire some guidance for further research.
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