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中文摘要：
金融复杂性研究表明，无论是成熟资本市场还是新兴资本市场，其价格波动除了具有时变、聚类和杠杆效应等典型特征外，还普遍具有更复杂的多分形特征。以中国股票市场中的4只认购权证为例，通过深入考察并充分提炼股价多分形分析过程中产生的对定量描述价格波动有益的统计信息，提出一种新的金融市场波动率测度，即多分形波动率，并进一步探讨其在权证定价领域中的实际应用。实证结果表明，中国股票市场的股价波动确实具有明显的多分形特征；且在B—S定价模型框架下，多分形波动率测度具有比常用的GARCH波动率测度和EGARCH波动率测度更优异的权证定价精度。
英文摘要：
Recent research on financial complexity discovers that, whether in developed capital markets or emerging ones, the price volatility presents muhifractal characteristics besides time varying, clustering and leverage effect. Taking 4 warrants in Chinese stock market as sample, this paper proposes a new volatility measure, named muhifractal volatility （ MFV）, by digging useful statistical information derived from muhifractal analysis to stock price. In order to verify MFV＇s validity, we discuss its application in warrant pricing. The empirical results show that price volatility in Chinese stock market does present multifractal feature and under Black-Scholes framework, MFV performs better than GARCH and EGARCH volatility measures in warrant pricing.
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