系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2012年
11期
2381~2386
,共null页
WTMM 小波分析 股市波动 多重分形
WTMM 小波分析 股市波動 多重分形
WTMM 소파분석 고시파동 다중분형
WTMM; wavalet analysis; stock market volatility; multifractal
以上证指数和深圳成分指数日收盘价的时间序列为样本，利用小波分析方法剔除序列的噪声干扰，对序列保留的波动趋势进行多重分形辨识．通过WTMM（小波变换模极大）计算配分函数，尺度函数和多重分形谱等，全面细致的量化了序列的局部及不同层次的波动奇异性．计算结果表明：去除噪声干扰后，中国现行证券市场的波动呈现显著的多重分形特征．
以上證指數和深圳成分指數日收盤價的時間序列為樣本，利用小波分析方法剔除序列的譟聲榦擾，對序列保留的波動趨勢進行多重分形辨識．通過WTMM（小波變換模極大）計算配分函數，呎度函數和多重分形譜等，全麵細緻的量化瞭序列的跼部及不同層次的波動奇異性．計算結果錶明：去除譟聲榦擾後，中國現行證券市場的波動呈現顯著的多重分形特徵．
이상증지수화심수성분지수일수반개적시간서렬위양본，이용소파분석방법척제서렬적조성간우，대서렬보류적파동추세진행다중분형변식．통과WTMM（소파변환모겁대）계산배분함수，척도함수화다중분형보등，전면세치적양화료서렬적국부급불동층차적파동기이성．계산결과표명：거제조성간우후，중국현행증권시장적파동정현현저적다중분형특정．
The Shanghai Composite Index and Shenzhen Component Index on the closing price time series as a sample, using the wavelet analysis eliminate noise sequence, sequence to retain the fluctuations of the multifractal trends identified. By WTMM （wavelet transform modulus maxima） calculate the partition function, scaling function and multifractal spectra, a comprehensive and detailed quantification of the sequence of the fluctuations at different levels of local and singularity. The results show that： after the removal of noise, Chinese current stock market existing securities significant fluctuations in the market multifractal characteristics.
