| 证券市场的非线性和确定性检验 |
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| 引用本文： | 卢山,王海燕.证券市场的非线性和确定性检验[J].系统管理学报,2005,14(3):235-238. |
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| 作者姓名： | 卢山 王海燕 |
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| 作者单位： | 东南大学,经济管理学院,南京,210096 |
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| 摘 要： | 以上海证券市场综合指数、香港恒生指数、台湾加权指数和美国标准普尔500指数为研究对象,对这些时间序列进行平稳化处理,对处理后的数据利用R/S分析法、BDS法和替代数据法进行了非线性检验,得到4个证券市场时间序列的波动呈非线性性的结论。进一步利用递归图方法从定性的角度和利用非线性不变量从定量的角度对4个证券市场时间序列的确定性进行了相应的分析,得出它们具有一定的确定性结论。
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| 关 键 词： | 证券市场指数序列 非线性 确定性 递归图 |
| 文章编号： | 1005-2542(2005)03-0235-04 |
| 修稿时间： | 2004年9月9日 |
Testing for Nonlinearity and Determinism in Stock Market |
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| LU Shan,WANG Hai-yan.Testing for Nonlinearity and Determinism in Stock Market[J].Systems Engineering Theory·Methodology·Applications,2005,14(3):235-238. |
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| Authors: | LU Shan WANG Hai-yan |
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| Abstract: | The nonlinearity of Shanghai Composite Index, Hong Kong Hang Seng Index, Taiwan Weighted Index and S&P 500 Index are investigated using the method or R/S, BDS, surrogate. Their determinism are investigated using the recurrence plots and RQA. All Index time series are dealt by using two de-trend methods to meet the requirement of weak stationary, which is very important to many nonlinear time series analysis method. At last, the result that these stock markets are driven by nonlinear and deterministic mechanisms can be claimed. |
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| Keywords: | stock index time series nonlinearity determinism recurrence plot |
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