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。
We get the Hurst exponent of shanghai stock market＇s Logarithmic return series which is about 0.6474 by R/S analysis method,showing that shanghai stock market system has fractal characteristics and about one and a half years＇ cycle of long memory.By using the method of re-contraction of phase space we find that Shanghai Stock attractor dimension converges to 1.355,which means that Shanghai stock market has chaos characteristics,and that at least two variables are needed to establish dynamic system of the Shanghai stock market.The max Lyapunov index of System is 0.003,which corroborates the one and a half years＇ cycle of long memory,the result of R/S analysis.The result of amount of the principal component analysis supports the Chaos feature of Shanghai Stock Market. The fractal and chaotic characteristics of Shanghai stock market reveals the nonlinear nature of Chinese stock markets,which is conducive in working out countermeasures to develop Chinese stock markets from a non-linear perspective.
出处
《系统工程》
CSSCI
CSCD
北大核心
2010年第6期30-35,共6页
Systems Engineering
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)
关键词
分形
混沌
R/S分析法
相空间重构
Fractals Chaos
R/S Analysis Method
Reconstructions of Phase Space
