Complex dynamical behaviors of daily data series in stock exchange

doi:10.1016/j.physleta.2004.10.053

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	Complex dynamical behaviors of daily data series in stock exchange
	Wang, HC ; Chen, GR ; Lu, JH
	2004-12-06
发表期刊	PHYSICS LETTERS A
ISSN	0375-9601
卷号	333 期号:3-4 页码:246-255
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.
关键词	chaotic time series Lyapunov exponent correlation dimension spectral analysis stock exchange
DOI	10.1016/j.physleta.2004.10.053
语种	英语
WOS研究方向	Physics
WOS类目	Physics, Multidisciplinary
WOS记录号	WOS:000225474700010
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/768
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.