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Demonstration Study on the Intrinsic Characteristic of Stock Complex Index on Shanghai Security Market
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《Journal of Systems Science and Information》 2006年第2期371-380,共10页
This paper takes the Shanghai Security market stock composite index as the research object, analyzes its intrinsic fractal essence characteristics by the application of fractal theory and the method, and computes the ... This paper takes the Shanghai Security market stock composite index as the research object, analyzes its intrinsic fractal essence characteristics by the application of fractal theory and the method, and computes the Hurst index, fractal dimension and correlated function of the highest prices of the complex index. Moreover, it studies characteristics of long term memory of the sample data and its variance along with time; study existence of chaotic attractors in data of the complex index by reconstructing the phase space of the index data. Finally, this paper carries on the related forecast demonstration study to the stock composite index. Results of the study have certain reference function to the actual problem. 展开更多
关键词 the shanghai stock market the stock composite index FRACTAL the hurst index demonstration study
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