摘要
通过对上海证券市场综合指数的多分辨率分析,发现了在细尺度下,上海证券市场综合指数的运行呈现出一定的周期性.利用小波变换细尺度下的局部极大模来检测其奇异性和边缘,发现了其周期的存在.证实了上海证券综合指数的时间序列是包含了某种随机自相似性的分形.为小波理论在经济学上的应用提供了一个有益的探讨.
According to a study of multi-resolution on Shanghai securities market index, it is found that, the movement of compo＇site index tends to be a certain periodicity in the same market on fine-scale basis. Significantly, using the local maxima of wavelet-transforming to examine the singularity and edging nature of composite index, finds out the existing of periodicity and proves that the time sequence of composite index in Shanghai securities market included a certain random self-similarity fractal. A quite useful discussion is provided in order to take wavelet theory into practice in the economic field.
基金
教育部博士学科点专项科研基金资助项目(20030145030)
