本文首先讨论了金融市场价格的波动特性。在很多情况下价格波动可以用Ito过程来表达,该过程有连续与离散两种模式。但是该模型带来的一个问题就是无法支持市场策略的进一步研究。通过对价格数据在时间域与频率域两个不同角度的观察,发现价格波动是有特性的,这种特性可以用非平稳时间序列来表达。对价格波动的研究必须依赖领域内的额外知识。 This paper first discusses the volatility of financial market prices. In many cases, price fluctuations can be expressed in an Ito process, which has both continuous and discrete modes. However, one of the problems with this model is the lack of further research on market strategies. Through the observation of price data in two different angles of time domain and frequency domain, it is found that the price fluctuation is characteristic. This characteristic can be expressed by non-stationary time series. Research on price volatility must rely on additional knowledge in the field.