Complex dynamical behaviors of daily data series in stock exchange
文献类型：期刊论文
| 作者 | Wang, HC; Chen, GR; Lu, JH |
| 刊名 | PHYSICS LETTERS A
 |
| 出版日期 | 2004-12-06 |
| 卷号 | 333期号:3-4页码:246-255 |
| 关键词 | chaotic time series Lyapunov exponent correlation dimension spectral analysis stock exchange |
| ISSN号 | 0375-9601 |
| DOI | 10.1016/j.physleta.2004.10.053 |
| 英文摘要 | It is well known that many economic data series show chaotic behaviours. In this Letter, we further investigate the complex dynamical behaviours of the daily data series, including opening quotation, closing quotation, maximum price, minimum price, and total exchange quantum, in Shenzhen stock exchange and Shanghai stock exchange, which are two representative stock exchanges in mainland China. The maximum Lyapunov exponents, correlation dimensions, and frequency spectra are calculated for these time series. Our results indicate that some daily data series of stock exchanges display low-dimensional chaotic behaviours, and some other daily data series do not show any chaotic behaviour. Moreover, we introduce a weighted one-rank local-region approach for predicting short-term daily data series of stock exchange. (C) 2004 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000225474700010 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/767]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Lu, JH |
| 作者单位 | 1.City Univ Hong Kong, Dept Elect Engn, Hong Kong, Hong Kong, Peoples R China 2.Beijing Inst Civil Engn & Architecture, Dept Engn Management, Beijing 100044, Peoples R China 3.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, HC,Chen, GR,Lu, JH. Complex dynamical behaviors of daily data series in stock exchange[J]. PHYSICS LETTERS A,2004,333(3-4):246-255. |
| APA | Wang, HC,Chen, GR,&Lu, JH.(2004).Complex dynamical behaviors of daily data series in stock exchange.PHYSICS LETTERS A,333(3-4),246-255. |
| MLA | Wang, HC,et al."Complex dynamical behaviors of daily data series in stock exchange".PHYSICS LETTERS A 333.3-4(2004):246-255. |
入库方式： OAI收割
来源：数学与系统科学研究院
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