中国证券市场混沌动力性的统计检验

Statistical Test for Chaotic Dynamic Behavior in Chinese Stock Market

本文介绍了Nychka(1992)、M.Shintaniat和O.Linton(2004)提出的一种能对估算出的Lyapunov指数进行统计检验的方法。在噪音的影响下,该方法估算出的结果比实际值更小,而传统的Wolf法估算出的结果比实际值更大。对中国证券市场进行的实证研究验证了上述结论,也表明我国证券市场存在混沌动力性。

This paper introduces a statistical test for the estimates Lyapunov exponents which was developed by Nychka（1992）,M. Shintaniat and O.Linton（2004）. Under the influence of noise, the result estimated by this method is smaller than the actual value, while the result eatimated by the traditional WoLf method is larger than the actual value. The empirical research on Chinese stock market validates the above conclution. It also shows that there is the chaotic dynamic behavior in Chinese stock market.