| 基于混沌理论在股票预测中的应用 |
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| 引用本文： | 戴天虹,袁博.基于混沌理论在股票预测中的应用[J].森林工程,2012,28(1):77-80. |
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| 作者姓名： | 戴天虹 袁博 |
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| 作者单位： | 东北林业大学机电工程学院,哈尔滨,150040 |
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| 基金项目： | 黑龙江省自然基金，黑龙江省自然科学基金项目 |
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| 摘 要： | 中国股票市场是一个具有分形维结构的混沌系统。分析中国股票市场的关联维数为非整数和最大Lyapounv指数大于零,以此作为充要条件判断股票市场是混沌系统。采用互信息法求取延迟时间τ,CAO方法求嵌入维数m,以此为基础对中国股票市场进行相空间重构,并对其建立基于最大Lyapunov指数混沌预测模型。
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| 关 键 词： | 重构相空间 关联维数 最大Lyapunov指数 股票市场 |
Application of Chaos Theory in Stock Prediction |
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| Dai Tianhong,Yuan Bo.Application of Chaos Theory in Stock Prediction[J].Forest Engineering,2012,28(1):77-80. |
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| Authors: | Dai Tianhong Yuan Bo |
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| Institution: | College of Mechanical and Electrical Engineering, Northeast Forestry University, Harbin 150040 |
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| Abstract: | China＇s stock market is a chaotic system with fractal dimension structure. This paper first gave an analysis that the correlation dimension of China＇s stock market was non-integer and the maximum Lyapounv index was greater than zero. Taking it as necessary and sufficient conditions, whether the stock market is chaotic can be judged. Then the delay time r was calculated by mutu- al information method, and the embedding dimension m could be computed by CAO method. Based on this, phase space reconstruc- tion of China＇s stock market can be carried out, and the chaotic forecasting model through largest Lyapunov index can he established. |
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| Keywords: | phase space reconstruction correlation dimension maximum Lyapounv index stock market |
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