中国股指期货市场流动性非线性特征分析与波动趋势预测

针对中国股指期货市场的流动性问题，利用多重分形去趋势波动法研究股指期货市场流动性非线性特征及其成因，并对比分析不同期限下期货市场流动性多重分形程度的差异；进一步，采用趋势熵维数方法识别期货市场流动性的变化趋势，还利用识别正确率和随机识别正确率验证该方法有效性和准确性。研究发现，中国股指期货市场具有明显的多重分形特征；与合约期限较短的股指期货相比，合约期限较长的股指期货流动性多重分形程度更低；股指期货市场流动性多重分形特征主要是流动性时间序列的相关多重分形和分布多重分形造成的；趋势熵维数方法可有效预测期货市场流动性的变化趋势。

Nonlinear Characteristics Analysisand Trend Identification of Liquidity in Chinese Stock Index Futures Markets

This paper uses the multifractal detrend fluctuation method to study the non-linear characteristics of the liquidity in Chinese stock index futures markets, and compares the multifractal degree of liquidity among the different futures contracts. We also identify the trended fluctuations by tendency entropy dimension and analyze the validity for the correct rate of identification by stochastic correct rate. The results show that the nonlinear characteristics of liquidity is obvious in Chinese stock index futures markets, and this nonlinearity is largely manifested as multifractal characteristics. The liquidity of other stock index futures contracts is less multifractalthan the short-term contracts. The sources of multifractality are due to both the related multifractality and distributed multifractality. The trended fluctuations of liquidity can be efficiently identified by the tendency entropy dimension method.