基于SDLE方法的滬深股市混沌和分形特征分析

樓振威+王延新

摘 要 本文運用尺度相關Lyapunov指數（SDLE）分析了滬深300指數復雜特征。結果表明滬深300指數在不同的尺度上具有不同的標度律，在小尺度上表現為混沌特征；幾乎在所有尺度上表現出分形特征，具有反持續相關性。這些都說明滬深股市具備分形和混沌特征。

關鍵詞 SDLE 滬深股市 分形特征 混沌特征

中圖分類號：F224.9 文獻標識碼：A DOI：10.16400/j.cnki.kjdkz.2016.09.073

Chaos and Fractal Characteristics Analysis of Shanghai and

Shenzhen Stock Markets Based on SDLE Method

LOU Zhenwei， WANG Yanxin

（College of Science， Ningbo University of Technology， Ningbo， Zhejiang 315211）

Abstract In this paper， the complex characteristics of the Shanghai and Shenzhen 300 index are analyzed by using the scale dependent Lyapunov index （SDLE）. The results show that the CSI 300 index has different scaling laws at different scales， and is characterized by chaos at small scales. All these show that the Shanghai and Shenzhen stock markets have fractal and chaos characteristics.

Key words SDLE； Shanghai and Shenzhen Stock Markets； fractal characteristics； chaotic characteristics