中国黄金市场的非线性和确定性检验

发布时间：2018-05-16 05:44

本文选题：黄金市场 + R/S分析　；参考：《统计与决策》2011年14期

【摘要】：混沌普遍存在于现代金融市场中,非线性和确定性是时间序列存在混沌的重要前提,而中国黄金市场这一新兴市场在此方面的研究仍是空白。文章以上海黄金交易所黄金现货日收盘价格序列作为研究对象,对数据进行收益率和对数线性去趋势平稳化处理,然后运用R/S分析来检验其非线性,发现上海黄金价格序列具有非线性和分形特征,但其后的BDS定量检验表明其非线性特征并不显著。最后运用递归图方法进行确定性检验,得出该系统具有一定确定性的结论。因此相较于传统的线性分析方法,对于我国黄金市场价格序列,采用非线性确定性模型进行分析预测可能更加有效。非线性和确定性的存在也表明我国黄金市场可能具有混沌特性,从而为今后对我国黄金价格的初值敏感性和奇异吸引子存在性等混沌特征进行分析,并进一步构筑混沌预测模型打下基础。
[Abstract]:Chaos generally exists in modern financial market, nonlinearity and certainty are the important premise of chaos in time series, but the research on this aspect of Chinese gold market is still blank. This paper takes the daily closing price sequence of gold spot in Shanghai Gold Exchange as the research object, carries on the rate of return and the logarithmic linear detrend stabilization processing to the data, then uses the R / S analysis to test its nonlinearity. It is found that the Shanghai gold price series has nonlinear and fractal characteristics, but subsequent BDS quantitative tests show that the nonlinear characteristics are not significant. At last, the method of recursive graph is used to test the determinism, and the conclusion is drawn that the system has certain certainty. Therefore, compared with the traditional linear analysis method, the nonlinear deterministic model may be more effective for the analysis and prediction of gold market price series in China. The existence of nonlinearity and certainty also indicates that the gold market in our country may have chaotic characteristics, so as to analyze the chaotic characteristics of the initial value sensitivity of gold price and the existence of singular attractors in the future. Furthermore, the chaotic prediction model is built.
【作者单位】：南京航空航天大学经济管理学院;南京中医药大学经济管理学院;
【基金】：教育部人文社科基金资助项目(09YJA630064)
【分类号】：F832.54;F724.5;F224

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