Analysis of Nonlinear Characteristics on the Shanghai Stock Market
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概要
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There are numerous research works on the nonlinear analysis of time series, such as chaotic behavior analysis, heterogeneous variance-covariance structures, etc. However, some studies apply the nonlinear theory to the real financial data without checking the nonlinearity of the time series. In this paper, we detect the nonlinearity by model fitting and confirm the nonlinearity using a statistical test before conducting the analysis of nonlinear characteristics. After confirming the nonlinearity, we then focus on the multifractal analysis of time series and its application to the Shanghai Stock Market. To detect the nonlinear characteristics, the multifractal analysis based on wavelet transform theory is employed in this paper.
- 2012-03-30
論文 | ランダム
- 両性年齢依存シミュレーションモデルの構築
- はじめに
- 岩手県医師会の活動--特に調査・予防・健康教育活動について
- 独立行政法人の針路を探る 国立環境研究所 選択と集中に基づく、四つの重点研究プログラム
- ピオトープのミニチュア化とその教材化の試み(P5,ポスター発表,日本理科教育学会第57回全国大会)