The Nonlinear Dynamics Characteristics of Stock Market and Its Variation
Jun Meng, Tianyu Zhu, Xiao Chen, Xiang Yin
Available Online March 2013.
- https://doi.org/10.2991/iccsee.2013.116How to use a DOI?
- stock market, Dow Jones indexes, correlation dimension, the maximum Lyapunov exponent, phase space reconstructiontt
- The stock market is a kind of complex system with all kinds of interactions. It also shows a nonlinear characteristic. In this paper, we analysed the time series from Dow Jones indexes itself and the time series from its fluctuation difference and extracted its correlation dimension and Lyapunov exponent, which shows a chaotic dynamic characteristic in it. Moreover, we also analysed the variation of chaotic characteristic indexes in long term, and found that the correlation dimension has a quasi-periodical variation and some rapid drops in some specific years. The variation of the correlation dimension can be used to reflect some internal changes in stock market.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jun Meng AU - Tianyu Zhu AU - Xiao Chen AU - Xiang Yin PY - 2013/03 DA - 2013/03 TI - The Nonlinear Dynamics Characteristics of Stock Market and Its Variation BT - Proceedings of the 2nd International Conference on Computer Science and Electronics Engineering (ICCSEE 2013) PB - Atlantis Press SP - 450 EP - 455 SN - 1951-6851 UR - https://doi.org/10.2991/iccsee.2013.116 DO - https://doi.org/10.2991/iccsee.2013.116 ID - Meng2013/03 ER -