【摘要】The paper presents a new way to capture the multi-peaks of financial dates,which is the nonparametric kernel density estimation with weishted samples.The new way captures the characters of multi-peaks and clusters of financial dates to be facility than the ARCH class and mixture distributions models.For example,we find evidences for the multi-peaks of the dynamical structures of stock index in shanghai stock market and some individual stocks.Monte Carlo simulations indicate the weights are important to describe returns which are mixture distributions.