上证指数的混沌特性分析.pdfVIP

32 3 上 海 交 通 大 学 学 报 Vol. 32 No. 3 1998 3 JOURNAL OF SHANGHAI JIAOT ONG U NIVERSITY M ar . 1998 * 叶中行, 　杨利平 ( ) 通过计算得到上证指数的最大李雅普诺夫( Lyapunov) 指数为正 , 表明上证指数具 有混沌特性. 通过上证指数的相关积分关于相空间维数的数 计算发现, 当相空间维数大于 10 以后, 相关积分趋于平稳, 从而确定上证指数的嵌入维数约为11, 这时对应的相关积分可以 看作为它的分数维, 约等于1. 1. 上证指数; 李雅普诺夫指数; 相关积分; 嵌入维数; 分数维 F 22 . 0 Analysis of Chaot ic Propert ies for Shanghai Stock Indices Ye Zhong x ing , Yang L ip ing ( Department of Applied M athematics, Shanghai Jiaotong University, China) AbstractIt is show n through numercal simulation that the largest Lyapunov exponent of the Shang- hai Stock Index is positive. T his implies that the index series is chaotic. T he correlated integration w ith respect to the dimension of the state space is calculated When the dimension is larger than. 10, the correlated integration approaches to 1. 1 w hich can be considered as the fractal dimension Thus. show s that the optimal embedding dimension of the index series is 11. Key words Shanghai Stock Index ; Lyapunov exponent; correlated integration; embedding dimen- sion; fractal dimension , , . . . , , , . , , , x ( 1) ,x ( 2) , x ( n) , , : ( 1) ? ( 2) , ? ? ? ? : 1996-09-2 * : , 19 6 , . : 200030 130 上　海　交　通　大　学　学　报 32 , , . , 10 , , 11, , 1. 1. 10 , [ 1] , [ 2] . 1　上证指数的最大李雅普诺夫指数 , , , ; . [ 3] , , . {x ( t ) }, , , . , . { ( ) , ( + ) , m m x t x t , ( + ( - 1) ) }. 0 , 0= { ( 0) , , ( 0+ ( - 1) ) } . x t m t P x t x t m 0 0= { ( 0) , , ( 0 + ( - 1) ) }, ( 0) 0 0 . P