| 证券市场中的混沌分形行为的研究 |
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| 引用本文： | 胡洁,潘林.证券市场中的混沌分形行为的研究[J].咸宁学院学报,2006,26(6):18-21. |
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| 作者姓名： | 胡洁 潘林 |
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| 作者单位： | 1. 长江大学,信息与数学学院,湖北,荆州,434100;武汉理工大学,理学院,湖北,武汉,430070
2. 武汉理工大学,理学院,湖北,武汉,430070 |
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| 摘 要： | 近几年来,用混沌理论来分析证券市场的变化规律,已经逐渐成为证券市场中非线性研究的热点.股票价格收益率及其波动常常表现为混沌特征,本文提供了一些方法来研究证券市场中的股票价格及其收益率所具有混沌特征.如Lyapunov 指数为正则可以确认系统具有混沌行为,再由混沌吸引子的分形维数分析证券市场运行系统的混沌状态.从而得出我国证券市场运行于混沌状态的有力证据.
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| 关 键 词： | 混沌吸引子 Lyapunov指数 相空间重构 混沌分形维数 |
| 文章编号： | 1006-5342(2006)06-0018-04 |
| 修稿时间： | 2006年10月23 |
Studies on Chaos and Fractal Actions in Securities Market |
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| HU Jie,PAN Lin.Studies on Chaos and Fractal Actions in Securities Market[J].Journal of Xianning College,2006,26(6):18-21. |
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| Authors: | HU Jie PAN Lin |
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| Abstract: | In recent years,it is very popular to use chaos in doing non-linear researches in securities market.Usually,the price of stock and its return rate in securities market have features of chaos.So,this paper offers some methods to investigate whether the price of stock and its return rate in securities market have features of chaos,Fox example,positive index of Lyapunov implies the system which have features of chaos.At the same time,we use fractal dimension to analyze chaotic characteristic of our securities market.In the end,we found that Positive Lyapunov exponent and fractional dimension demonstrate chaotic characteristic effectively in our securities market. |
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| Keywords: | Strange attractor Lyapunov exponent Reconstructions of phase space The fractal dimension of chaotic attractor |
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