CAJ | 학술논문

选择伦敦金与Au9999下午收盘价格作为样本数据研究时间序列双变量之间的联动波动规律。依据粗粒化方法，将伦敦金与Au9999价格的联动波动状态转化为由5个｛P，N，M｝字符组成的字符串，每个字符串代表5天的价格联动波动模态。将模态作为节点，模态之间的转化为边，构建价格联动波动复杂网络。运用复杂网络理论对时间序列双变量联动波动模态的统计、变化规律和演化机制进行分析。结果表明：时间序列双变量联动波动模态分布具有幂律性、群簇性和周期性，其联动波动模态主要通过少数几种模态进行转换与演化。本方法不仅可以研究不同类型时间序列双变量联动波动，同时可为多变量联动波动研究提供思路。
선택륜돈금여Au9999하오수반개격작위양본수거연구시간서렬쌍변량지간적련동파동규률。의거조립화방법，장륜돈금여Au9999개격적련동파동상태전화위유5개｛P，N，M｝자부조성적자부천，매개자부천대표5천적개격련동파동모태。장모태작위절점，모태지간적전화위변，구건개격련동파동복잡망락。운용복잡망락이론대시간서렬쌍변량련동파동모태적통계、변화규률화연화궤제진행분석。결과표명：시간서렬쌍변량련동파동모태분포구유멱률성、군족성화주기성，기련동파동모태주요통과소수궤충모태진행전환여연화。본방법불부가이연구불동류형시간서렬쌍변량련동파동，동시가위다변량련동파동연구제공사로。
To study linkage fluctuation of double variables of time series, we took London Gold and Au9999. Model of linkage fluctuation is consisted of characters{P,N,M}, using coarse graining process. Nodes of complex network are 5-symbol strings. Linkage fluctuation complex network is composed of all models and link edges between them. It indicates that models have power-law distribution, clustering and periodicity. Transmission and evolution are finished mainly by few models. It provides an analyzing method for many kinds of double variables of time series and ideas for general law of multi-variables of time series, as well.