期刊
FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY
卷 20, 期 2, 页码 133-140出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0218348X12500120
关键词
Fractals; Chaos; R/S Analysis Method; Reconstruction of Phase Space
资金
- National Science Foundation of China [71171024]
- Natural Science Foundation of China [70971013]
- Hunan Natural Science Foundation [09JJ1010]
- Key Research Institute of Philosophies and Social Sciences in Hunan Universities
The Hurst exponent derived by the R/S analysis method of Shanghai stock market's logarithmic return series is about 0.6298. This shows that the Shanghai stock market exhibits fractal features, and a long memory cycle of about one-and-a-half years. With the reconstruction of phase space, the Shanghai Stock attractor dimension converges to 1.335, which means that the Shanghai stock market has chaotic features, and constructing a dynamic system of the Shanghai stock market needs at least two variables. The findings from the principal component analysis support the conclusion of the existence of chaotic features of the Shanghai stock market. The fractal and chaotic features of the Shanghai stock market reveal the nonlinear properties of the Chinese stock market, and the nonlinearity perspective will be more conducive to the formulation of countermeasures for the development of the Chinese stock market.
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