我国证券市场混沌的判据

Judgement of chaos in our securities market

本文通过李雅普诺夫指数和吸引子的分数维这两个指数来研究我国证券市场的混沌特征。利用 Wolf提出的重构相空间技术和 G- P算法分别计算了上证综指日收益率序列的李雅普诺夫指数和吸引子的分数维。从而得出我国证券市场运行于混沌状态的有力证据。

Lyapunov exponent and fractal dimension are two important indexes which indicate the existence of chaos.The paper analyzes chaotic characteristic of our securities market.Two technologies,reconstruction of phase space and G P arithmetic,are used to compute two indexes,respectly,Positive lyapunov exponent and fractional dimension demonstrate chaotic characteristic effectively in our securities market.