中国股票市场分形与混沌特征:1994～2008

发布时间：2018-01-08 23:21

本文关键词：中国股票市场分形与混沌特征:1994～2008　出处：《系统工程》2010年06期 　论文类型：期刊论文

【摘要】：用R/S分析法得出上海股市对数收益序列的Hurst指数为0.6474,说明上海股市系统存在分形特征,存在大约一年半的长期记忆性的循环周期;用相空间重构法求得上海股市吸引子的维数收敛于1.355,说明上海股市具有混沌特性,建立上海股市的动力学系统至少需要两个变量;系统的最大Lyapunov指数为0.003,佐证了R/S分析得出的上海股市存在一个大约一年半的循环周期的结论;主成量分析法的使用支持系统具有混沌特性的结论。上海股市的分形和混沌特性揭示了中国股市的非线性本质,以非线性观为指导更有利于制定有利于发展股市的对策。
[Abstract]:The Hurst index of the logarithmic return series of Shanghai stock market is 0.6474 by using R- S analysis method, which indicates that the Shanghai stock market system has fractal characteristics and has a long memory cycle of about one and a half years. Using the phase space reconstruction method, the dimension of the attractor of Shanghai stock market converges to 1.355, which indicates that Shanghai stock market has chaotic characteristics, and it needs at least two variables to establish the dynamic system of Shanghai stock market. The maximum Lyapunov index of the system is 0.003, which supports the conclusion that the Shanghai stock market has a cycle of about one and a half years. The fractal and chaotic characteristics of Shanghai stock market reveal the nonlinear nature of Chinese stock market. Under the guidance of nonlinear view, it is more helpful to formulate countermeasures that are beneficial to the development of stock market.
【作者单位】：长沙理工大学经济与管理学院;湖南省金融工程与金融管理研究中心;长沙理工大学科技处;
【基金】：国家自然科学基金资助项目(70971013) 国家社科基金资助项目(08AJY008) 湖南省杰出青年基金资助项目(09JJ1010) 湖南省教育厅创新平台项目(09K064)
【分类号】：F224;F832.51
【正文快照】： 1引言现实世界中,非线性问题不是例外而是常规的现象,非线性特性是事物存在和发展的基本特征。受牛顿经典力学的影响传统经济学就变量之间的关系持有线性假设的基本观点,认为变量之间呈现出按照比例变化的特征,部分和整体之间是一种加和关系。非线性是经济系统无限多样性、丰

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