基于SDLE方法的沪深股市混沌和分形特征分析

楼振威+王延新

摘 要 本文运用尺度相关Lyapunov指数（SDLE）分析了沪深300指数复杂特征。结果表明沪深300指数在不同的尺度上具有不同的标度律，在小尺度上表现为混沌特征；几乎在所有尺度上表现出分形特征，具有反持续相关性。这些都说明沪深股市具备分形和混沌特征。

关键词 SDLE 沪深股市 分形特征 混沌特征

中图分类号：F224.9 文献标识码：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