中国证券市场的混沌性检验

Chaotic Tests of Chinese Securities Market

本文研究发现上证综指和深成指的日、周和月序列均是协方差平稳的,但是由于它们表现出随时间变化的易变性、长程相关性和过度的偏度与峰度,而这些又是非线性系统的特征,所以它们是非线性动力系统。本文对它们进行了混沌检验,发现我国证券市场中含有奇异吸引子,它控制着价格的运动,它是混沌过程。

Daily, weekly and monthly yield series of Shanghai Colligation Index and Shenzhen Component Index exhibit time-varying volatility, carry long-range dependence, and portray excessive askew and kurtosis, though they are covariance stationary. And these are the symptoms of nonlinear systems, so they suggest that the series contain nonlinear dynamics. The study examines the chaos in Chinese securities market and finds there exists strange attractors, which control the movement of the price. So it's a chaotic process.