# [1]王福来,达庆利.改进的临近返回检测法:时间序列的混沌性诊断[J].东南大学学报(自然科学版),2006,36(6):1039-1044.[doi:10.3969/j.issn.1001-0505.2006.06.033] 　Wang Fulai,Da Qingli.Chaotic analysis of time series based on improved close returns test[J].Journal of Southeast University (Natural Science Edition),2006,36(6):1039-1044.[doi:10.3969/j.issn.1001-0505.2006.06.033] 点击复制 改进的临近返回检测法:时间序列的混沌性诊断() 分享到： var jiathis_config = { data_track_clickback: true };

36

2006年第6期

1039-1044

2006-11-20

## 文章信息/Info

Title:
Chaotic analysis of time series based on improved close returns test

1 东南大学经济管理学院, 南京 210096; 2 浙江财经学院数学与统计学院, 杭州 310012
Author(s):
1 School of Economics and Management, Southeast University, Nanjing 210096, China
2 School of Mathematics and Statistics, Zhejiang University of Finance and Economics, Hangzhou 310012, China

Keywords:

F830.91
DOI:
10.3969/j.issn.1001-0505.2006.06.033

Abstract:
A model of difference equations with perturbations to simulate economic systems and analyze the topological characteristics of the dynamic systems with perturbation is established. The drawbacks of the close returns test(CR test)such as sensitive dependence of chaotic systems are pointed out. Thus an improved close returns test(ICR test)is given and probabilistic and dynamic support are provided. Finally the ICR test is applied to the examination of nonlinearity and chaos in the Shanghai Stock Market. The results indicate that the data are not chaotic but contain lots of nonlinearities with noises.

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