| 基于混沌时序的WTI价格系统预测 |
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| 引用本文： | 高雷阜,陈斌. 基于混沌时序的WTI价格系统预测[J]. 辽宁工程技术大学学报(自然科学版), 2009, 28(6) |
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| 作者姓名： | 高雷阜 陈斌 |
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| 作者单位： | 辽宁工程技术大学,数学与系统科学研究所,辽宁,阜新,123000 |
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| 基金项目： | 辽宁省自然科学基金资助项目 |
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| 摘 要： | 针对现代金融理论在描述价格波动行为时和真实市场之间存在着一定的差距问题,为运用混沌时间序列的方法来提取价格序列中蕴含着的动力学信息,并应用到实际预测,采用改进C-C算法消除在求解时间延迟时出现的矛盾,并且在计算Lyapunov这一重要系统特征量的过程中,结合R/S分析的方法,对小数据量法进行改进,用于WTI价格系统的预测.结果表明:该方法与传统方法相比,混沌时间序列预测的精度和可信度得到了提高,在经济预测方面有一定的理论价值和良好的应用前景.
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| 关 键 词： | 混沌时间序列 WTI价格 相空间重构 |
Forecast on WTI spot price system based on chaotic time series |
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| GAO Leifu,CHEN Bin. Forecast on WTI spot price system based on chaotic time series[J]. Journal of Liaoning Technical University (Natural Science Edition), 2009, 28(6) |
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| Authors: | GAO Leifu CHEN Bin |
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| Affiliation: | GAO Leifu,CHEN Bin (Institute of Mathematics and System Sciences,Liaoning Technical University,Fuxin 123000,China) |
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| Abstract: | There are some differences between theory and real market regarding the price fluctuation behavior.Using chaotic time series method,the dynamic information of price series is extracted and applied to factual forecast.The improved C-C algorithm eliminates the delay time in problem solving.Moreover,in modeling the characteristics of Lyapunov system,the small data sets method is improved by combining R/S analysis method and applied to forecast WTI spot price series.Result indicates that the method improves the... |
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| Keywords: | chaotic time series WTI spot price phase space restruction |
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