基于趋势熵维数的股票市场动量生命周期阶段识别

The Stages Identification of Momentum Life Cycle of Stock Market Based on Tendency Entropy Dimension

在提出"上涨或下跌动量效应""高位或低位反转效应"概念的基础上,对股票市场动量生命周期的概念进行了修正完善,随后结合股票市场是分形市场的实际情况,构建了"趋势熵维数"作为动量生命周期阶段的识别测度,并以上海证券交易所的全部行业指数为样本,对趋势熵维数识别动量生命周期阶段的有效性进行了实证分析。研究表明,趋势熵维数能有效识别动量生命周期阶段,是识别动量生命周期阶段的有效测度。

This paper puts forward the concepts such as ＂increasing or decreasing momentum effect＂ and ＂high and low contrarian effect＂. On this basis, the concept of momentum life cycle has been modified and improved. Then, the ＂tendency entropy dimension＂ has been built as the recognition measure of momentum life cycle stages on the basis of the fractal market, and an empirical analysis is made on the effectiveness of stages identification the momentum life cycle by trend entropy dimension. This study has found that, the momentum life cycle stages can be accurately identified with the tendency entropy dimension, which has an valid measure to identify the momentum life cycle stages.