| 基于经验模态分解的上证综合指数时间序列分析 |
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| 引用本文： | 蔡赟姝,卢志明.基于经验模态分解的上证综合指数时间序列分析[J].上海大学学报(自然科学版),2012(4):384-389,440. |
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| 作者姓名： | 蔡赟姝 卢志明 |
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| 作者单位： | 上海大学上海市应用数学和力学研究所 |
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| 基金项目： | 上海大学创新基金资助项目(SHUCX112358) |
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| 摘 要： | 采用经验模态分解(empirical mode decomposition,EMD)方法对上证综合指数(Shanghai composite index,SCI)进行研究,将其分解为多个内模函数(intrinsic mode functions,IMFs)和剩余项之和.通过对各阶内模函数进行基本统计分析和分布拟合,发现其"尖峰厚尾"的特点基本服从自由度为3的t分布.通过对各阶内模函数进行周期性分析,揭示各阶模态间不同的波动信息,并得到周、月、半年等时间尺度股指的波动特点,以及典型上涨和下跌时段的波动周期和波动特点.
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| 关 键 词： | 经验模态分解 内模函数 金融时间序列 |
Analysis of Shanghai Composite Index Time Series Based on Empirical Mode Decomposition |
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| CAI Yun-shu,LU Zhi-ming.Analysis of Shanghai Composite Index Time Series Based on Empirical Mode Decomposition[J].Journal of Shanghai University(Natural Science),2012(4):384-389,440. |
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| Authors: | CAI Yun-shu LU Zhi-ming |
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| Institution: | (Shanghai Institute of Applied Mathematics and Mechanics,Shanghai University,Shanghai 200072,China) |
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| Abstract: | Shanghai composite index(SCI) is decomposed into a series of intrinsic mode functions(IMFs) and a residual using the empirical mode decomposition(EMD) method.Fluctuation properties of each IMF are obtained.A basic statistic analysis and fitting on the distribution of the IMFs reveal that the "leptokurtosis,fat-tailed" characteristics of IMFs obey t-distribution with a degree of freedom 3.Fluctuation cycles and characteristics on widely concerned time scales,such as week,month,half year,etc.,are obtained.Particularly,fluctuation properties of typical rising and dropping periods are analyzed. |
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| Keywords: | empirical mode decomposition(EMD) intrinsic mode function(IMF) financial time series |
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