| Lyapunov指数混沌特性判定研究 |
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| 引用本文： | 郁俊莉,王其文. Lyapunov指数混沌特性判定研究[J]. 武汉理工大学学报, 2004, 26(2): 90-92 |
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| 作者姓名： | 郁俊莉 王其文 |
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| 作者单位： | 北京大学光华管理学院,北京,100871 |
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| 基金项目： | 中国博士后科学基金项目 ( 2 0 0 30 330 80 ) |
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| 摘 要： | 探讨了Lyapunov指数混沌特性判据原理，分析了时间序列Lyapunov指数的计算过程，通过计算我国上证综合指数收益率时间序列的Lyapunov指数谱系，分析了我国资本市场的混沌特性。
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| 关 键 词： | Lyapunov指数 时间序列 混沌特性 |
| 文章编号： | 1671-4431(2004)02-0090-03 |
| 修稿时间： | 2003-11-12 |
Research of Judging the Chaotic Characteristics with the Lyapunov Exponents |
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| YU Jun li,WANG Qi wen. Research of Judging the Chaotic Characteristics with the Lyapunov Exponents[J]. Journal of Wuhan University of Technology, 2004, 26(2): 90-92 |
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| Authors: | YU Jun li WANG Qi wen |
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| Abstract: | The purpose of this article is to discuss the principle for judging the chaotic characteristics of time series with the Lyapunov exponents. The calculation procedure of Lyapunov exponents is studied. Moreover, a case study on judging the chaotic characteristics with the logarithm yield of the Shanghai Stock Market is performed by calculating the Lyapunov exponents pedigree. |
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| Keywords: | Lyapunov exponents time series chaotic characteristics |
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