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Empirical Analysis of Chaotic Features of China’s Stock Market

Author: NuoMin
Tutor: LiuZhaoBo
School: Jilin University
Course: Quantitative Economics
Keywords: Chaos Fractal R / S analysis Correlation dimension
CLC: F224
Type: Master's thesis
Year: 2006
Downloads: 210
Quote: 1
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Abstract


Stock market economic system as an important component of an integrated market.It’s price movement reflects almost unlimited information,and price changing process dominated by many economic factors. The evolution of great uncertainty, a factor in any minor changes may lead to unpredictable results. Stock market research for the selection revealed the complexity of the economic system and find the correct way to study this complexity . Stock market data accessible, the stock market itself is a small economic system that have closed and open natrue. The stock market has mega numbers of transactions, and very few people or groups can complete monopoly control. It affected the factors causing it, much like the real economic system.Traditional theory simulate the stock market, most of them are in framework which developed to EMH basis that the stock market price changes follow Markov process, the distribution of price changes fluence subject to normal distribution analysis.Many empirical studies have shown there are many practical and theoretical linear stock market don’t meet the complexity . Such a stock market system requires a nonlinear objective framework then a linear system. It’s well using fractal and chaos theory and nonlinear science to studied. First study of a system to determine which elements of the system may be affected by the impact.Chaos signal sensitive to initial conditions, the stock market changes and these features are very similar. After Chaos economists study the existence of a stock price volatility of Chaos. The Chinese stock market in the search for evidence of the existence of the first analysis of Chaos series H index. H index instructions relevance of the long time series. If there are long time series sequence characteristics, then time series linear assumptions will not be established. Time series analysis of three index cards found on the index, Shanghai Comprehesive Stock Index(SCSI), Shenzhen Element Stock Index(SESI),MSCI indices respectively H is 0.815781, 0.772385 and

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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