摘要
中国股票市场是一个具有分形维结构的混沌系统。分析中国股票市场的关联维数为非整数和最大Lyapounv指数大于零,以此作为充要条件判断股票市场是混沌系统。采用互信息法求取延迟时间τ,CAO方法求嵌入维数m,以此为基础对中国股票市场进行相空间重构,并对其建立基于最大Lyapunov指数混沌预测模型。
China＇s stock market is a chaotic system with fractal dimension structure. This paper first gave an analysis that the correlation dimension of China＇s stock market was non-integer and the maximum Lyapounv index was greater than zero. Taking it as necessary and sufficient conditions, whether the stock market is chaotic can be judged. Then the delay time r was calculated by mutu- al information method, and the embedding dimension m could be computed by CAO method. Based on this, phase space reconstruc- tion of China＇s stock market can be carried out, and the chaotic forecasting model through largest Lyapunov index can he established.
出处
《森林工程》
2012年第1期77-80,共4页
Forest Engineering
基金
黑龙江省自然基金(F200920)
黑龙江省自然科学基金项目(C2004-03)
