本文選題：樣本熵 + 金融股指��； 參考：《山東大學(xué)學(xué)報(bào)(理學(xué)版)》2014年07期

【摘要】：運(yùn)用樣本熵分析方法,對(duì)上證指數(shù)、深圳成指、恒生指數(shù)和道瓊斯指數(shù)對(duì)數(shù)收益率時(shí)間序列進(jìn)行了多尺度復(fù)雜性分析,證明了股票序列的熵值與金融市場(chǎng)穩(wěn)定程度具有對(duì)應(yīng)關(guān)系:當(dāng)貨幣流通量增加時(shí),金融股指的熵值提高,市場(chǎng)更成熟。同時(shí)對(duì)國(guó)內(nèi)外金融股指的進(jìn)一步對(duì)比分析表明,當(dāng)市場(chǎng)受到控制時(shí),即使貨幣流通量增加,熵值仍然會(huì)劇烈下降,市場(chǎng)發(fā)生明顯的退化。最后通過對(duì)股指各時(shí)間尺度下熵值的橫向?qū)Ρ?揭示了短、中、長(zhǎng)期市場(chǎng)各自的特點(diǎn)。
[Abstract]:By using the method of sample entropy analysis, the multiscale complexity analysis of logarithmic yield time series of Shanghai Stock Exchange Index, Shenzhen Composite Index, Hang Seng Index and Dow Jones Index is carried out. It is proved that the entropy value of stock series has a corresponding relationship with the degree of financial market stability: when the currency circulation increases, the entropy value of the financial stock index increases and the market becomes more mature. At the same time, the further comparative analysis of the domestic and foreign financial indexes shows that even when the market is under control, even if the currency circulation increases, the entropy value will still decrease sharply, and the market will degenerate obviously. Finally, the characteristics of short, medium and long term markets are revealed by comparing the entropy values of different time scales.
【作者單位】： 上海大學(xué)上海市應(yīng)用數(shù)學(xué)和力學(xué)研究所;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(11272196,11222222)
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

中國(guó)期刊全文數(shù)據(jù)庫 前1條

1 喬坎坤;盧志明;;擴(kuò)散熵方法對(duì)股指內(nèi)在規(guī)律性的分析[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2013年05期

【共引文獻(xiàn)】

中國(guó)期刊全文數(shù)據(jù)庫 前1條

1 喬坎坤;盧志明;;擴(kuò)散熵方法對(duì)股指內(nèi)在規(guī)律性的分析[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2013年05期

中國(guó)博士學(xué)位論文全文數(shù)據(jù)庫 前1條

1 張罕育;我國(guó)進(jìn)口原油海上運(yùn)輸安全系統(tǒng)評(píng)價(jià)及預(yù)警研究[D];大連海事大學(xué);2013年

，

本文編號(hào)：1814683