摘要
运用样本熵分析方法,对上证指数、深圳成指、恒生指数和道琼斯指数对数收益率时间序列进行了多尺度复杂性分析,证明了股票序列的熵值与金融市场稳定程度具有对应关系:当货币流通量增加时,金融股指的熵值提高,市场更成熟。同时对国内外金融股指的进一步对比分析表明,当市场受到控制时,即使货币流通量增加,熵值仍然会剧烈下降,市场发生明显的退化。最后通过对股指各时间尺度下熵值的横向对比,揭示了短、中、长期市场各自的特点。
By means of sample entropy, the logarithmic price difference series of the Shanghai Composite Index, the Shenzhen Component Index, the Hang Seng Index, and the Dow Jones Index are analyzed.It is proved that the entropy of stock is related with market stability.When the amount of currency in circulation increased, the entropy of stock in-creased as well, the market becomes more mature.Further analysis of domestic and foreign financial index indicates that when the market is under control, even if the amount of currency in circulation increased, the entropy will still decrease sharply, the market degrades.Through horizontal comparison of the entropy of different time scale, characteristics of the short-term and long-term market are revealed.
出处
《山东大学学报(理学版)》
CAS
CSCD
北大核心
2014年第7期50-56,共7页
Journal of Shandong University(Natural Science)
基金
国家自然科学基金资助项目(11272196
11222222)
关键词
样本熵
金融股指
稳定性分析
the sample entropy
stock index
stability analysis