[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]
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改进的临近返回检测法:时间序列的混沌性诊断()
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《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
36
期数:
2006年第6期
页码:
1039-1044
栏目:
经济与管理
出版日期:
2006-11-20

文章信息/Info

Title:
Chaotic analysis of time series based on improved close returns test
作者:
王福来12 达庆利1
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):
Wang Fulai12 Da Qingli1
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
关键词:
非线性 改进的临近返回检验 噪声 混沌
Keywords:
nonlinearity improved close returns test the white noise chaos
分类号:
F830.91
DOI:
10.3969/j.issn.1001-0505.2006.06.033
摘要:
利用受随机扰动时系统时间序列的拓扑学特点,建立了带随机项的差分方程模型以模拟经济时间序列,指出了临近返回检测(CR检测)方法在反映混沌的敏感依赖性等方面的不足,改进了原CR方法的判断步骤,并从数理统计及动力学角度给出了理论依据,提出了改进的临近返回检测方法(ICR检测).最后对上海股票市场非线性与混沌进行了实证,指出了上海股票市场存在非线性,噪声较大,但不存在混沌.
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.

参考文献/References:

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备注/Memo

备注/Memo:
作者简介: 王福来(1970—),男,博士生,flyerwon@sina.com; 达庆利(联系人),男,教授,博士生导师, dql@public1.ptt.js.cn.
更新日期/Last Update: 2006-11-20