中国股市复杂性测度及其变化特征分析  

Complexity Measure of Chinese Stock Market and Its Changign Features

作　　者：刘小瑜[1] 余海华 Liu Xiaoyu;Yu Haihua(School of Statistics,Jiangxi University of Finance and Economics,Nanchang 330013,China;School of Mathematics and Statistics,Minnan Normal University,Zhangzhou Fujian 363000,China)

机构地区：[1]江西财经大学统计学院,南昌330013 [2]闽南师范大学数学与统计学院,福建漳州363000

出　　处：《统计与决策》2020年第5期129-132,共4页Statistics & Decision

基　　金：福建省中青年教师教育科研项目(JT180315);江西省研究生创新专项资金资助项目(YC2018-B061)。

摘　　要：文章基于近似熵与样本熵理论及其之间比较时存在唯一交点的特性,科学地确定了测度股市复杂性的共同最优参数,并解析了股市复杂性的变化特征。结果表明:随着维数和阈值的不同变化,近似熵具有规律性变化,样本熵具有无序、复杂性变化;股市近似熵与样本熵的共同最优参数m=2、r=0.22SD;近似熵和样本熵对序列变化特征的描述展现了各自的优势,拓展了仅强调样本熵更优的理论观点;复杂度与收益率存在显著性正向变化关系;市场信息的有效传递是影响股市复杂性的重要因素。Based on approximate entropy(ApEn) and sample entropy(SampEn) and the characteristic of having a unique intersection between them in comparison, this paper scientifically determines the common optimal parameter for measuring the complexity of stock market, and analyzes the changing characteristics of the complexity of stock market. The results shows that with the change of dimension and threshold, the ApEn changes regularly and the SampEn changes in disorder and complexity;the common optimal dimension and threshold of ApEn and SampEn of stock market are m = 2, r = 0.22 SD;The ApEn and SampEn show their respective advantages in the description of sequence variation characteristics, extending the theoretical viewpoint that only emphasizes the better sample entropy;there is a significant positive relationship between complexity and return rate;the effective transmission of market information is an important factor affecting the complexity of stock market.

关 键 词：股市复杂性 近似熵 样本熵 变化特征 

分 类 号：F830.9[经济管理—金融学]