Nonlinear and Chaotic Analysis of a Financial Complex System

LIN Yong-xin; CHEN Yu-shu; CAO Qing-jie

doi:10.3879/j.issn.1000-0887.2010.10.011

Volume 31 Issue 10

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LIN Yong-xin, CHEN Yu-shu, CAO Qing-jie. Nonlinear and Chaotic Analysis of a Financial Complex System[J]. Applied Mathematics and Mechanics, 2010, 31(10): 1239-1248. doi: 10.3879/j.issn.1000-0887.2010.10.011

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Nonlinear and Chaotic Analysis of a Financial Complex System

doi: 10.3879/j.issn.1000-0887.2010.10.011

The School of Astronartics, Harbin Institute of Technology, P. O. Box 137, Harbin 150001, P. R. China

Received Date: 1900-01-01
Rev Recd Date: 2010-09-03
Publish Date: 2010-10-15

Abstract

Abstract

A determination on the characteristics of futures market of commodity of China was presented by the method of the phase-randomized surrogate data.There was a significant difference in critical values obtained when this method was used in random timeseries and nonlinear chaotic timeseries.The technology of the singular value decomposition was used to reduce noise of chaotic timeseries and then the phase space of chaotic timeseries was decomposed to range space and null noise space, and the original chaotic timeseries in range space was restructured.The method of strong disturbance on the basis of the improved general constrained randomized method was further adopted to re-deternine.According to the calculated result an analysis on the trend of futures's market of commodity is made.The results indicate that the Chinese futures's market of commodity is a complicated nonlinear system with obvious nonlinear chaotic characteristic.
- nonlinear chaotic timeseries,
- random timeseries,
- phaserandomized,
- singular value decomposition,
- general constrained randomization

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References(18)

References

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