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本文通过李雅普诺夫指数和吸引子的分数维这两个指数来研究我国证券市场的混沌特征。利用 Wolf提出的重构相空间技术和 G- P算法分别计算了上证综指日收益率序列的李雅普诺夫指数和吸引子的分数维。从而得出我国证券市场运行于混沌状态的有力证据。
This paper studies the chaos characteristics of China’s securities market through the Lyapunov index and the attractor’s fractal dimension. Using Wolf’s reconstructed phase space technique and G-P algorithm, the Lyapunov index and the fractional attractor of Shanghai Stock Exchange are calculated respectively. From this we can draw the strong evidence that the securities market in chaos state.