股指异常波动的近似熵分析  

Research on the Fluctuation of Stock Market Based on Approximated Entropy Method

作　　者：郭建华[1] 徐松金[2] 

机构地区：[1]邵阳学院经济与管理系,湖南邵阳422000 [2]铜仁学院大数据学院,贵州铜仁554300

出　　处：《铜仁学院学报》2016年第4期136-141,共6页Journal of Tongren University

基　　金：教育部人文社会科学研究青年基金项目(15YJC630026);湖南省教育厅资助科研项目(14B160);贵州省科学技术厅;铜仁市科学技术局;铜仁学院联合基金(黔科合LH字[2015]7248号)

摘　　要：受宏观政策和突发事件的影响,股票价格通常会发生剧烈波动。运用近似熵和滑动技术相结合的方法,计算样本数据序列的近似熵,对上证综指和深圳成指时间序列进行了异常波动分析。分析结果表明,股票市场的波动特征与股指时间序列的近似熵值密切相关,伴随宏观政策调整或突发事件的发生,股指近似熵值通常会偏大,股市波动性也越强。Based on approximated entropy, this paper analyzes the multi-scale complexity of the time series of Shanghai Composite Index and Shenzhen Composite Index from 2001 through 2014. Firstly, by calculating approximated entropy of the time series of Shanghai Composite Index and Shenzhen Composite Index, it is proved that the entropy of stock is closely related with market stability, when the entropy of stock increases, the stock market fluctuates more heavily, and vice versa. The empirical testing results show that the Approximated Entropy-Wavelet Transform analysis is effective in identification of stock prices＇ abnormal fluctuation.

关 键 词：近似熵 深圳成指 上证综指 异常波动 

分 类 号：O192[理学—数学] F224[理学—基础数学]