| 基于小波分形理论的股价指数信息量测度研究 |
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| 引用本文： | 陈军飞,王嘉松.基于小波分形理论的股价指数信息量测度研究[J].运筹与管理,2003,12(1):65-69. |
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| 作者姓名： | 陈军飞 王嘉松 |
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| 作者单位： | 河海大学,国际工商学院,江苏,南京,210098;南京大学,数学系,江苏,南京,210093 |
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| 摘 要： | 本把小波分析和分形理论引入到股价指数时间序列的分析中，给出了股价指数波动复杂性的信息量测度方法——信息熵和分形维方法。通过对上证综指和深证成指1994年1月3日至2002年3月4日期间的数据进行的实证分析显示，两种方法均能刻画股价指数波动的复杂程度，这对初步了解我国股市场的波动规律有一定的实际意义。
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| 关 键 词： | 股价指数 小波变换 信息熵 分形维 |
| 文章编号： | 1007-3221(2003)01-0065-05 |
| 修稿时间： | 2002年6月24日 |
Research on Stock Price Index Information Measure Based on Wavelets and Fractals Theory |
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| CHEN Jun-fei,WANG Jia-song.Research on Stock Price Index Information Measure Based on Wavelets and Fractals Theory[J].Operations Research and Management Science,2003,12(1):65-69. |
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| Authors: | CHEN Jun-fei WANG Jia-song |
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| Abstract: | In this paper,wavelets and fractals theory is proposed in the analysis of stock price index time sequences and information entropy and fractal dimension methods are introduced for describing the vibrating character of stock price index. The analysis of Shanghai and Shenzhen stock price index from January 3,1994 to March 4,2002 shows that the complicated vibrating characteristic of stock price index can be described well by the above methods. It will have some practical meanings for understanding China's stock market. |
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| Keywords: | stock price index wavelet transform information entropy fractal dimension |
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