摘要
以上海证券市场综合指数、香港恒生指数、台湾加权指数和美国标准普尔500指数为研究对象,对这些时间序列进行平稳化处理,对处理后的数据利用R/S分析法、BDS法和替代数据法进行了非线性检验,得到4个证券市场时间序列的波动呈非线性性的结论。进一步利用递归图方法从定性的角度和利用非线性不变量从定量的角度对4个证券市场时间序列的确定性进行了相应的分析,得出它们具有一定的确定性结论。
The nonlinearity of Shanghai Composite Index, Hong Kong Hang Seng Index, Taiwan Weighted Index and S&P 500 Index are investigated using the method or R/S, BDS, surrogate. Their determinism are investigated using the recurrence plots and RQA. All Index time series are dealt by using two de-trend methods to meet the requirement of weak stationary, which is very important to many nonlinear time series analysis method. At last, the result that these stock markets are driven by nonlinear and deterministic mechanisms can be claimed.
出处
《系统工程理论方法应用》
北大核心
2005年第3期235-238,共4页
Systems Engineering Theory·Methodology·Applications
关键词
证券市场指数序列
非线性
确定性
递归图
stock index time series
nonlinearity
determinism
recurrence plot
