| 复杂性度量方法的改进及其在证券市场的应用 |
| |
| 引用本文： | 王福来,达庆利.复杂性度量方法的改进及其在证券市场的应用[J].系统工程学报,2007,22(5):455-460. |
| |
| 作者姓名： | 王福来 达庆利 |
| |
| 作者单位： | 1. 东南大学经济与管理学院,江苏,南京,210096;浙江财经学院数学与统计学院,浙江,杭州,310012
2. 东南大学经济与管理学院,江苏,南京,210096 |
| |
| 摘 要： | 系统地分析了Lemple-Ziv复杂性度量方法的应用过程中,将实际信号(时间序列)转变成符号序列的诸多方法中存在的一些问题,提出了更合理的处理方法,即兼容法.兼容法可以有效地刻画各种时间序列的复杂度,克服了均值法等方法中将序列过分"粗粒化"以致不能区分混沌与完全随机现象的缺点,克服了极值法与遗传密码粗粒化方法因只提取细节成分信息而导致辨别率不高等缺点.最后动态地分析了中国证券市场的复杂性.
|
| 关 键 词： | 复杂性理论 上海证券市场 白噪声 混沌 |
| 文章编号： | 1000-5781（2007）05-0455-06 |
| 收稿时间： | 2006-07-31 |
| 修稿时间： | 2007-02-12 |
Improvement of complexity measure method and its application to the stock exchange market |
| |
| WANG Fu-lai,DA Qing-li.Improvement of complexity measure method and its application to the stock exchange market[J].Journal of Systems Engineering,2007,22(5):455-460. |
| |
| Authors: | WANG Fu-lai DA Qing-li |
| |
| Institution: | 1. School of Economics and Management, Southeast University, Nanjing 210096, China; 2. School of Mathematics and Statistics, Zhejiang University of Finance and Economics, Hangzhou 310012, China |
| |
| Abstract: | The paper analyzes the problems of transforming signals(i.e.time series) into symbol series in the application of the Lemple-Ziv theory of complexity and then proposes a more suitable method,namely the compatible method.The method can not only describe the complexity of different time series,but also avoid the weakness of oversimplified coarse grain of state space that will result in that chaos and complete random series can not be differentiated in the mean methocl,and the weaknesses of only paying attentionto local information that will result in ineffectiveness of distinguishing time series in the extremal method and the genetic code method.Finally the dynamic complexity of the Shanghai Stock Exchange Market is analyzed. |
| |
| Keywords: | complexity theory Shanghai Stock Exchange Market white noise chaos |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
