| 多尺度小波聚焦下金融信息的自相似性 |
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| 引用本文： | 徐喆,于海,朱志良,朱伟勇.多尺度小波聚焦下金融信息的自相似性[J].沈阳大学学报,2007,19(2):26-30. |
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| 作者姓名： | 徐喆 于海 朱志良 朱伟勇 |
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| 作者单位： | 1. 东北大学,信息工程学院,辽宁,沈阳,110004
2. 东北大学,软件学院,辽宁,沈阳,110004 |
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| 基金项目： | 高等学校博士学科点专项科研项目 |
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| 摘 要： | 通过对上海证券市场综合指数的多分辨率分析,发现了在细尺度下,上海证券市场综合指数的运行呈现出一定的周期性.利用小波变换细尺度下的局部极大模来检测其奇异性和边缘,发现了其周期的存在.证实了上海证券综合指数的时间序列是包含了某种随机自相似性的分形.为小波理论在经济学上的应用提供了一个有益的探讨.
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| 关 键 词： | 小波 多分辨率 模极大 Lipschitz正则性 奇异谱 |
| 文章编号： | 24211410 |
| 修稿时间： | 10 9 2006 12:00AM |
Self-similarity of Finance Information Underlying Multi-measurements Wavelet |
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| XU Zhe,YU Hai,ZHU Zhiliang,ZHU Weiyong.Self-similarity of Finance Information Underlying Multi-measurements Wavelet[J].Journal of Shenyang University,2007,19(2):26-30. |
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| Authors: | XU Zhe YU Hai ZHU Zhiliang ZHU Weiyong |
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| Abstract: | According to a study of multi-resolution on Shanghai securities market index,it is found that,the movement of composite index tends to be a certain periodicity in the same market on fine-scale basis.Significantly,using the local maxima of wavelet-transforming to examine the singularity and edging nature of composite index,finds out the existing of periodicity and proves that the time sequence of composite index in Shanghai securities market included a certain random self-similarity fractal.A quite useful discussion is provided in order to take wavelet theory into practice in the economic field. |
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| Keywords: | wavelet multi-resolution local maxima Lipschitz regularity irregularity spectrum |
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