The Nonlinear Dynamics Characteristics of Stock Market and its Variation

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.

• Periodical: Applied Mechanics and Materials (Volumes 513-517)
• Pages: 3188-3193
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.513-517.3188
• Online since: February 2014
• Authors: Jun Meng*, Tian Yu Zhu, Xiao Chen, Xiang Yin
• Keywords: Correlation Dimension, Dow Jones Indexes, Maximum Lyapunov Exponent, Phase Space Reconstructiontt, Stock Market

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