我国证券市场的混沌与分形研究

Study on chaos and fractal dimension at securities market in China

最大李雅普诺夫指数和赫斯特指数分别是混沌和分形的重要指标,以深市和沪市的大盘日收盘价的对数收益率为研究对象,分别计算了深市和沪市的最大李雅普诺夫指数和赫斯特指数,验证了我国股市的混沌与分形的特性。

The largest Lyapunov index and Hurst index are significant indices of chaos and fractal dimension respectively. This paper looked at the closing indices of Shenzhen and Shanghai securities market as a study object and calculated the largest Lyapunov index and Hurst index of the two securities markets. The characters of chaos and fractal dimension of China securities market were proved.