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| 上证综合指数的非趋势化处理和谱检验研究 | |
| 引用本文： | 陈有禄,熊虎,罗秋兰.上证综合指数的非趋势化处理和谱检验研究[J].商业研究,2009(2). |
| 作者姓名： | 陈有禄 熊虎 罗秋兰 |
| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400030 2. 贵州财经学院,金融学院,贵州,贵阳,550004 3. 广西工学院,财政经济系,广西,柳州,545006 |
| 基金项目： | 广西教育厅科研项目，广西工学院科学基金 |
| 摘 要： | 对上证综合指数每日收盘数据进行非趋势化处理,并对经过处理后的股票指数数据进行了功率谱检验,找出具有混沌功率谱特征的时间序列所对应的去趋势化方法,为后续计算股票指数的关联维数和李雅普诺夫指数等提供了有效的数据处理平台,以便对股市进行有效的预测和研究。 |
| 关 键 词： | 股票价格指数 非趋势化处理 功率谱 |
A Empirical Study on the Non-Tendency Processing and Spectrum Verification of Shanghai Share Price Index |
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| CHEN You-lu,XIONG Hu,LUO Qiu-lan.A Empirical Study on the Non-Tendency Processing and Spectrum Verification of Shanghai Share Price Index[J].Commercial Research,2009(2). | |
| Authors: | CHEN You-lu XIONG Hu LUO Qiu-lan |
| Institution: | 1.College of Economics & Business Administration;Chongqing University;Chongqing 400030;China;2.Department of Finance;Guizhou College of Finance and Economics;Guiyang 550004;3.Department of Finance & Economics;Guangxi University of Technology;Chongqing 545006;China |
| Abstract: | In this paper every day closing data of the ShangHai share price index is processed by no-tendency,and the data of share processed is carried on with the power spectrum verification.This is for the purpose of seeking the non-tendency corresponding the time series with the chaotic power spectrum characteristic.It also calculates the correlation dimension and Lyapunov exponent in order to effectively forecast and study stock market. |
| Keywords: | share price index non-tendency processing power spectrum |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |