The Nonlinear Dynamics Characteristics of Stock Market and Its Variation

摘要：

　　The stock market is a kind of complex system with all kinds of interactions.It also shows a nonlinear characteristic.In this paper,we analysed the time series from Dow Jones indexes itself and the time series from its fluctuation difference and extracted its correlation dimension and Lyapunov exponent,which shows a chaotic dynamic characteristic in it.Moreover,we also analysed the variation of chaotic characteristic indexes in long term,and found that the correlation dimension has a quasi-periodical variation and some rapid drops in some specific years.The variation of the correlation dimension can be used to reflect some internal changes in stock market.

关键词： stock market Dow Jones indexes correlation dimension the maximum Lyapunov exponent phase space reconstructiontt

作者: Jun Meng Tianyu Zhu Xiao Chen Xiang Yin

作者单位: College of Electrical Engineering,Zhejiang University,Hangzhou,China

会议类型: 国际会议

会议名称: 2013 2nd International Conference on Computer Science and Electronics Engineering(ICCSEE2013)(2013年第二届计算机科学与电子工程国际会议)

会议地点: 杭州

会议语种:英文

页码: 450-455

在线出版日期: 2013-03-22（万方平台首次上网日期，不代表论文的发表时间）