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用递归图方法演绎金融数据的沙堆演化过程是我们为了研究金融数据中所蕴含的沙崩和跃升现象而提出的一种创新方法。该方法基于重构相空间理论,通过对比分析递归图中类分形自相似结构的演化过程与沙堆堆积过程之间的相似性,从直观分析沙堆堆积、滑落及坍塌的特征入手,构建类分形自相似结构的沙堆演化模型,提出了驻留比率、滑落比率及时间间隔的边界点等概念工具,研究金融数据中所蕴含的沙崩和跃升现象。本文重点介绍该方法提出的思路和模型的构建过程,并以上证综合指数为例验证了方法的有效性。
The evolution of the sand pile using the recursive graph method to deduce the financial data is an innovative method we propose to study the phenomena of atrophy and jumped in the financial data. Based on the theory of reconstructed phase space, the method compares the evolution of the fractal self-similar structure in the recursive graph with the similarity of the sand pile accumulation process, and analyzes the characteristics of pile accumulation, slipping and collapsing, Fractal self-similar structure of the sand pile evolution model, proposed the resident ratio, slipping rate and time interval of the boundary point and other conceptual tools to study the financial data contained in the collapse and jumped phenomenon. This article focuses on the ideas and modeling process proposed by this method, and validates the effectiveness of the method by taking Shanghai Composite Index as an example.