基于混沌理论的上海股市非线性动力学研究  

Research on Non-Linear Dynamics Characters of Shanghai Stock Market Based on Chaos Theory

作　　者：周洪涛[1] 王宗军[1] 

机构地区：[1]华中科技大学管理学院,武汉430074

出　　处：《系统工程理论方法应用》2005年第5期390-394,共5页Systems Engineering Theory·Methodology·Applications

摘　　要：介绍了资本市场的非线性动力学方法,使用重构相空间技术重构了上海股市的相空间,描述了其二、三维演化趋势图,并分别计算了关联维数,得到了它的饱和嵌入维数,说明上海股市是具有分数维结构的低自由度混沌系统,计算了最大Lyapunov指数。通过计算表明,上海股市是混沌系统,进一步解释了上海股市非线性复杂性形成的机理。This paper firstly introduces non-linear dynamics model of the capital market. Then, we reconfigure the phase space of Shanghai stock market by using reconfiguration phase space technology, and picture its 2-dimension and 3-dimension trend charts. We also calculate the correlation dimension of Shanghai stock market, and find its saturated embed dimension that demonstrates that Shanghai stock market is a low-freedom chaos systems which has a fractional dimension structure. Finally, we calculate Lyapunov exponent of Shanghai stock market, and find its value is greater than zero, which demonstrates that Shanghai stock market is a chaos system that further interprets mechanics of forming non-linear complexities of Shanghai stock market.

关 键 词：资本市场理论 混沌理论 重构相空间 关联维数 LYAPUNOV指数 

分 类 号：F830.91[经济管理—金融学]