摘要
本文把小波分析和分形理论引入到股价指数时间序列的分析中 ,给出了股价指数波动复杂性的信息量测度方法———信息熵和分形维方法。通过对上证综指和深证成指 1994年 1月 3日至 2 0 0 2年 3月 4日期间的数据进行的实证分析显示 ,两种方法均能刻画股价指数波动的复杂程度 ,这对初步了解我国股市的波动规律有一定的实际意义。
In this paper,wavelets and fractals theory is proposed in the analysis of stock price index time sequences and information entropy and fractal dimension methods are introduced for describing the vibrating character of stock price index. The analysis of Shanghai and Shenzhen stock price index from January 3,1994 to March 4,2002 shows that the complicated vibrating characteristic of stock price index can be described well by the above methods. It will have some practical meanings for understanding China's stock market.
出处
《运筹与管理》
CSCD
2003年第1期65-69,共5页
Operations Research and Management Science
关键词
股价指数
小波变换
信息熵
分形维
stock price index
wavelet transform
information entropy
fractal dimension
