基于复杂网络的创业板指数动力学特征分析  

Dynamic Characteristics Analysis on Growth Enterprises Index Based on Complex Network

作　　者：刘志刚[1] 任达[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《武汉理工大学学报（信息与管理工程版）》2015年第2期224-227,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(71373171)

摘　　要：创业板指数是创业板市场的晴雨表,从复杂网络的角度出发,对创业板指数时间序列的动力学特征进行研究,利用可视图建网法将创业板指数时间序列转化为复杂网络,并与同时间段中小板指数和深圳成指作比较,揭示其时间序列的运动特征。研究结果表明,3种指数的可视图均为无标度网络,其时间序列均具有分形的特征,时间序列的赫斯特指数与其可视图的幂指数的关系表明,创业板指数的变动并不能由分形布朗运动来描述,而中小板指数和深圳成指近似服从分形布朗运动。Chinese Growth Enterprises Index is the barometer of Chinese Growth Enterprises market.The dynamic character-istics of Chinese Growth Enterprises index were analyzed from complex network view.The Chinese Growth Enterprises index were converted into network through visibility graph method and compared with Shenzhen small and medium-size enterprises index and Shenzhen component index in the same time period in order to reveal the motion of the time series.The results indicate that the visibility graphs of the three indexes are scale-free networks and time series show fractal character.The relationship between time series＇and power exponent of visibility graph show that the movement of Chinese Growth Enterprises index couldn＇t be depic-ted as fractal brown motion, while the movement of Shenzhen Small and medium-size Enterprises index and Shenzhen Compo-nent Index can be seen as fractal Brown motion.

关 键 词：复杂网络 可视图 创业板指数 赫斯特指数 分形布朗运动 

分 类 号：F830.91[经济管理—金融学]