标题:
基于非线性混沌理论的期货市场农产品交易分析Comparative Analyses of Turnovers of Agricultural Products Futures Based on Nonlinear Chaotic Theories
作者:
韩清滨, 朱喆
关键字:
农产品期货交易, 混沌, 代替数据法, Lyapunov指数, 非线性Turnovers of Agricultural Products Futures, Chaotic, Surrogate Data Method, Lyapunov Exponents, Nonlinear
期刊名称:
《Operations Research and Fuzziology》, Vol.5 No.4, 2015-11-25
摘要:
本文应用复杂系统理论研究我国期货价格收益率数据的非线性特性。研究采用基于混沌理论的两种非线性参数估计方法(代替数据法和Lyapunov指数估计法)对大连和郑州期货交易所的2009年到2014年的农产品期货交易额进行分析。文中首先对上述两种非线性方法的具体算法进行介绍，然后对两组期货交易数据进行对比分析。利用代替数据方法对农产品期货价格时序数据进行非线性特性检验。研究结果表明农产品期货价格时序数据中确实存在着非线性成分，在时域波形上直观相似的农产品期货交易额，用上述非线性混沌分析的方法可以有效地加以定量区分。
In the paper, two nonlinear estimation methods based on chaotic theory, surrogate data method and Lyapunov exponents, are used to distinguish the difference of non-stationary signals of the turnovers of agricultural products futures between Zhengzhou Commodity Exchange and Dalian Commodity Exchange from 2009 to 2014. After brief introduction of the corresponding algorithms, two typical different signals are compared by using the above two methods respectively. The ob-tained results demonstrate that the apparently similar signals are distinguished effectively in a quantitative way with applying above nonlinear chaotic analyses.