Proceedings of the 2nd International Conference on Computer Science and Electronics Engineering (ICCSEE 2013)

The Nonlinear Dynamics Characteristics of Stock Market and Its Variation

Authors
Jun Meng, Tianyu Zhu, Xiao Chen, Xiang Yin
Corresponding Author
Jun Meng
Available Online March 2013.
DOI
10.2991/iccsee.2013.116How to use a DOI?
Keywords
stock market, Dow Jones indexes, correlation dimension, the maximum Lyapunov exponent, phase space reconstructiontt
Abstract

The stock market is a kind of complex system with all kinds of interactions. It also shows a nonlinear characteristic. In this paper, we analysed the time series from Dow Jones indexes itself and the time series from its fluctuation difference and extracted its correlation dimension and Lyapunov exponent, which shows a chaotic dynamic characteristic in it. Moreover, we also analysed the variation of chaotic characteristic indexes in long term, and found that the correlation dimension has a quasi-periodical variation and some rapid drops in some specific years. The variation of the correlation dimension can be used to reflect some internal changes in stock market.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2nd International Conference on Computer Science and Electronics Engineering (ICCSEE 2013)
Series
Advances in Intelligent Systems Research
Publication Date
March 2013
ISBN
978-90-78677-61-1
ISSN
1951-6851
DOI
10.2991/iccsee.2013.116How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Jun Meng
AU  - Tianyu Zhu
AU  - Xiao Chen
AU  - Xiang Yin
PY  - 2013/03
DA  - 2013/03
TI  - The Nonlinear Dynamics Characteristics of Stock Market and Its Variation
BT  - Proceedings of the 2nd International Conference on Computer Science and Electronics Engineering (ICCSEE 2013)
PB  - Atlantis Press
SP  - 450
EP  - 455
SN  - 1951-6851
UR  - https://doi.org/10.2991/iccsee.2013.116
DO  - 10.2991/iccsee.2013.116
ID  - Meng2013/03
ER  -