摘要
系统复杂性的研究是系统工程的一个热点研究领域。在虚假邻域概念基础上,给出了合适的嵌入参数的确定方法。讨论了分形维与最大Lyapunov指数的计算方法。纽约市场国际原油期货收盘价格时间序列数据的计算表明:这些数据来源于一最大Lyapunov指数值为0.038的混沌吸引子,混沌吸引子分形维为3.625,需用4个变量描述其所在系统的运动规律。此结论为进一步利用混沌理论研究原油期货价格的运动规律、进行相关的投资决策提供了重要信息。
The research on system flexibility is a hot issue in system engineering. Based on the concept of false neighbor, this paper gives the method of computing suitable embedding parameters. It also discusses the methods of computing fractal dimension and the largest Lyapunov exponent. The calculation of the closing quotation price time series data of the international crude oil futures on the New York market indicate that these data come from a chaotic attractor. The largest Lyapunov exponent is 0. 038, the fractal dimension is 3. 625,and 4 variables are needed to describe the system. The conclusions contain important information to use chaos theory to further research crude oil futures price and investment decision making.
出处
《运筹与管理》
CSCD
2007年第4期127-130,共4页
Operations Research and Management Science
基金
福州大学科技发展基金资助项目(2004-XQ(S)-05)
