金融股指稳定性的样本熵分析

The application of sample entropy in stock stability analysis

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.