| 基于小波变换的证券市场分形特征研究 |
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| 引用本文： | 王立人,毛军军,何其慧,金磊.基于小波变换的证券市场分形特征研究[J].安徽广播电视大学学报,2010(4):125-128. |
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| 作者姓名： | 王立人 毛军军 何其慧 金磊 |
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| 作者单位： | 1. 安徽大学,数学科学学院,合肥,230039
2. 安徽大学,数学科学学院,合肥,230039;安徽大学,智能计算与信号处理教育部重点实验室,合肥,230039 |
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| 基金项目： | 安徽省高等学校省级自然科学研究项目(KJ2008B093); 中国博士后科学基金(20070411028); 安徽大学校级大学生创新性实验计划项目(4005) |
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| 摘 要： | 将小波变换和分形混沌分析相结合,选择db4小波函数进行小波变换,利用分解与重构算法,并结合多重分形分析,针对上证（A）、深证（A）、恒生、纳斯达克、道琼斯、日经等证券市场,从每日收盘价格指数和交易量两方面着手,通过分形维数、谱维数、最大Lyapunov指数、非周期循环长度、hurst指数等指标研究资本证券市场的动力学分形特性和演化规律。
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| 关 键 词： | 小波变换 分形维数 Hurst指数 谱维数 资本证券市场 |
A Study on Fractal Structure Features of Stock Market Based on Wavelet Transformation |
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| WANG Li-ren,MAO Jun-jun,HE Qi-hui,JIN Lei.A Study on Fractal Structure Features of Stock Market Based on Wavelet Transformation[J].Journal of Anhui Television University,2010(4):125-128. |
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| Authors: | WANG Li-ren MAO Jun-jun HE Qi-hui JIN Lei |
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| Institution: | WANG Li-ren1,MAO Jun-jun1,2,HE Qi-hui1,JIN Lei1(1.School of Mathematical Science,Anhui University,Hefei 230039,China,2.Key Laboratory of Intelligent Computing , Signal Processing of Ministry of Education,China) |
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| Abstract: | This paper combines wavelet transformation.With Rescaled Range Analysis,and selects wavelet funtion of db4 to acquire wavelet transformation.With wavelet decomposition,reconstruction algorithm and multifractal analysis,it studies closing price index and volume of daily exchange on Shanghai stock exchange(A),Shenzhen exchange(A),Hengseng exchange,Nasdaq exchange,Dow-jones exchange and Nikkei exchange.It gets the dynamic fractal features of stock markets and evolutionary principle by calculation fractal dimen... |
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| Keywords: | wavelet transformation fractal dimension Hurst exponent spectrum dimension capital market |
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