| 基于小波变换的多重分形谱研究及实证分析 |
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| 引用本文： | 彭松,毛军军,程蓉,朱良燕.基于小波变换的多重分形谱研究及实证分析[J].合肥学院学报(自然科学版),2009,19(3):40-43,72. |
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| 作者姓名： | 彭松 毛军军 程蓉 朱良燕 |
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| 作者单位： | 1. 安徽大学数学科学学院,合肥,230039
2. 安徽大学数学科学学院,合肥,230039;安徽大学智能计算与信号处理教育部重点实验室,合肥,230039 |
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| 基金项目： | 国家自然科学基金项目，安徽省高校省级自然科学基金项目，中国博士后科学基金项目和安徽大学人才队伍建设经费资助 |
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| 摘 要： | 为了探索期货市场中的非线性特征，选用大连和芝加哥期货市场中黄豆期货价格时间序列，借助配分函数分布图判定期货时间序列存在多重分形特征，并在此基础上利用多重分形谱对期货时序描述多重分形特征．结果表明，与芝加哥期货市场相比，大连期货市场的多重分形强度更大，风险更大．然后对时间序列进行小波变换，将处理后的时间序列的多重分形强度与原始序列进行比较，发现多重分形特征与时间序列中的噪声及长程相关性有关．
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| 关 键 词： | 期货时间序列 多重分形谱 配分函数 小波变换 |
Multifractal Spectrum Analysis and Application Based on Wavelet Transform |
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| PENG Song,MAO Jun-jun,CHENG Rong,ZHU Liang-yan.Multifractal Spectrum Analysis and Application Based on Wavelet Transform[J].Journal of Hefei University :Natural Sciences,2009,19(3):40-43,72. |
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| Authors: | PENG Song MAO Jun-jun CHENG Rong ZHU Liang-yan |
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| Institution: | a.Department of Mathematical Science;b.Key Laboratory of Intelligent Computing and Signal Processing of Ministry of Education;Institute of Artificial Intelligence;Anhui University;Hefei 230039;China |
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| Abstract: | In order to test the nonlinearity in futures market,the multifractal characteristics of two future prices were analyzed.Firstly,the distribution diagrams of partition function was applied to diagnose the existence of multifractal characteristic.Then the characteristics were described by using multifractal spectra.It points out that compared to the Chicago futures market,the Dalian futures market have stronger multifractality and greater risk.The original time series and the transformed time series by wavele... |
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| Keywords: | futures time series multifractal spectrum partition function wavelet transform |
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