摘要
应用复杂系统理论研究我国小麦期货价格收益率数据的非线性特性。通过R/S分析,证明小麦期货价格时序数据具有明显的分形特性。利用替代数据方法对小麦期货价格时序数据进行非线性特性检验。研究结果一致表明小麦期货价格时序数据中确实存在着非线性成分。这一研究具有较为重要的理论和实际研究价值。
The nonlinearity of wheat futures price returns in ZhengZhou Commodity Exchange is detected using complex system theory. The R/S analysis provides evidence for persistence and fractality in wheat futures price series. The nonlinear dynamical features of wheat futures price series are verified by using surrogate data method. The results indicate that nonlinear characteristics obviously exist in wheat futures price series. This research has an important theoretical and practical value.
出处
《中国农机化》
北大核心
2009年第2期20-21,96,共3页
Chinese Agricul Tural Mechanization
