| [1] Admati A R, Pfleiderer P. A theory of intraday patterns: Volume and price variability[J]. The review of financial studies. 1988,1(1):3-40.[2] Ding D K, Lau S T. An analysis of transactions data for the stock exchange of Singapore: Patterns’ absolute price change trade size and number of transactions [J]. Journal of business finance and accounting, 2001,28(1-2):151-174.[3] 杨之曙, 李子奈. 上海股市日内流动性：深度变化实证研究[J]. 金融研究, 2003, 276(6):25-37.[4] 刘向丽, 程刚, 成思危, 等. 中国期货市场日内效应分析[J].系统工程理论与实践,2008（8）:63-80.[5] Mariani M C, Florescu I, Beccar Varela M P，et al. Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data[J]. Physica A, 2009,388(8):1659-1664.[6]Kasman A, Kasman S, Torun E. Dual long memory property in returns and volatility: Evidence from the CEE countries’ stock markets[J]. Emerging Markets Review, 2009,10(2):122-139.[7]Bisaglia L, Gerolimetto M. Forecasting long memory time series when occasional breaks occur[J]. Economics Letters,2008,98(3):253-258.[8] Melo Mendes B V, Kolev N. How long memory in volitility affects true dependence structure[J]. International Review of Financial Analysis, 2008,17(5):1070-1086.[9] 王新宇,宋学锋,吴瑞明.中国证券市场的分形分析[J].管理科学学报,2004,7(5):68-74.[10] 郝清民.中国股市收益率长记忆性R/S非线性分析[J].管理工程学报，2007,21(2):115-117.[11]苑莹, 庄新田. 中国股票市场的长记忆性与市场发展状态[J].数理统计与管理, 2008,27(1):156-163.[12] 黄登仕. 金融市场的标度理论[J]. 管理科学学报,2000,3(2):27-33.[13] 周炜星. 上证指数高频数据的多重分形错觉[J]. 管理科学学报, 2010, 13(3): 81-86.[14] 魏宇. 金融市场的多分形波动率测度、模型及其SPA检验[J]. 管理科学学报,2009（5）:88-99.[15] 王鹏，魏宇. 基于多分形波动率测度的ES风险度量[J].系统管理学报, 2012,21(2):192-200.[16] 黄健柏，程慧，郭尧琦，等.金属期货量价关系的多重分形特征研究：基于MF-DCCA方法[J].管理评论,2013,25(4):77-85.[17] Podobnik B, Stanley H E. Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series[J].Physical Review Letters,2008,100(8):084102.[18] Zhou W X. Multifractal detrended cross-correlation analysis for two nonstationary signals[J].Physical Review E, 2008,77(6):066211. [19] Qiu T, Zhong L X, Chen G, et al. Statistical properties of trading volume of Chineses stocks[J]. Physica A,2009,388(12 ):2427-2434.[20] 汪冬华，索园园. 金融危机前后中国股票市场和外汇市场的交叉相关性：基于多重分形理论的视角[J].系统管理学报,2013,22(3):394-401. |
