Title :
Study on Chaotic Behavior of the Stock Price´s Volatility
Author :
Wang Yuling ; Wang Jing ; Si Fengshan
Author_Institution :
Sch. of Sci., Tianjin Univ. of Commerce, Tianjin, China
Abstract :
Chaotic dynamics theory provides an analytical method for securities price in a stock. In this paper the Shanghai Composite Index is selected to analyze the nonlinear characteristics of price fluctuations. Through processing the data with the logarithmic-eliminating trend method, the chaotic attractor of Shanghai Stock Index is computed. The results show that Chinese securities market is an obvious chaotic system.
Keywords :
chaos; pricing; stock markets; Chinese securities market; Shanghai Composite Index; Shanghai Stock Index; chaotic attractor; chaotic behavior; chaotic dynamics theory; logarithmic-eliminating trend method; price fluctuation; stock price volatility; stock securities price; Chaos; Correlation; Educational institutions; Fluctuations; Indexes; Space vehicles; Stock markets; Chaos; Correlation dimension; Fractal;
Conference_Titel :
Intelligent System Design and Engineering Applications (ISDEA), 2013 Third International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4673-4893-5
DOI :
10.1109/ISDEA.2012.313
