金融时间序列的分形自组织研究

V. Hilarov
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摘要

采用多重分形和递归量化分析(RQA)方法对五项金融指标的日收益进行了时间序列分析。研究表明,2008年金融危机伴随着决定论和分形自组织的增强。这种规律性被认为类似于其他非线性系统在灾难性情况下的行为。同时,对于物理系统而言,危机期间的全局h rst系数最小,而不是最大。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
On the fractal self-organization of the financial time series
Time series of five financial indexes daily returns were analyzed by means of multifractal and recurrence quantification analysis (RQA) methods. It is shown that a financial crisis in 2008 year is accompanied with the increase in determinism and fractal self-organization. Such regularity is noted as analogous to other nonlinear systems behavior in catastrophic situations. At the same time, the global Hürst coefficient is minimal during the crises instead of maximum for physical systems.
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