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Title: |
Researches on Non-Linear Characteristics of the Shanghai Securities Market |
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Source: |
International Conference on Engineering and Business Management (EBM 2010 PAPERBACK)
(pp 3834-3837)
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Author(s): |
jun Nie, College of Information Management, Chengdu university of technology, cdut, Sichuan, china
ping Zhang, College of Information Management, Chengdu university of technology, cdut, Sichuan, china
wenjing Rong, College of Information Management, Chengdu university of technology, cdut, Sichuan, china |
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Abstract: |
Abstract: This paper takes the opening price, the highest price and the closing price of the composite index on the Shanghai A shares as the research object. Based on the thought of phase-space reconstruction, by the use of the average mutual information method, G-P algorithm technologies and small-data method, some geometric invariants of the Shanghai stock market, such as the embedding dimension, relevance dimension and the largest Lyapunov exponent etc., have been obtained. Thus we can accurately get some important quantitative criteria for determining the degree of market chaos and prediction, which is as a basis to analyze the complexity of the Shanghai stock market’s non-linear characteristics. Thus, we can get a conclusion that the Shanghai securities market, similar to the Lorenz system, is a three-dimensional nonlinear system with control parameters, and this has provided a strong empirical foundation when choosing system model for system modeling.
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