Research on time series model of the stock price index in China;

Based on the multifractal theory,this paper presents an empirical research on the data of Shanghai Stock Price and analyzes statistically the correlations between the parameters of the multifractal spectrum and the stock price index and the logarithmic return.

In this paper,wavelets and fractals theory is proposed in the analysis of stock price index time sequences and information entropy and fractal dimension methods are introduced for describing the vibrating character of stock price index.

This article takes statistic analysis methods to make a practical study on fluctuating law of the stock index,and gives an analysis of the factors and the effects which influnence the then government to supervise the stock market,and to work out the corresponding plans and policies;it also means to lend the investors to reasonable investment.

Study on price discovery process between stock index and stock index futures;

According to the empirical analysis on the relationship between stock index and macro-economy from the year 1994 to 2004,the author explores what really causes the stock index unable to reflect the trend of macro-economy development correctly in different periods and infers that the key problem existing in Chinese stock market is the supervision pattern of governmental centralization.

We investigate the intraday interaction between the stock index and the stock index futures through the high frequency data.