Shanghai, Deep Non-linear Characteristic Of Stock Market And Predicting That Models Are Studied

Play a very enormous role to the development of national economy as an important component of market economy on the stock market. During the last ten years, of our country stock market make staggering success , appear a great deal of difficult problem that solve too at the same time. Traditional linear method , is indicated this method is not very rational by domestic and international a large number of positive research, can't describe situation and characteristic changing over time on the stock market objectively , should use various kinds of non-linear methods to study the prediction question on the stock market of our country , in order to promote the development of health of the stock market of our country. So, non-linear characteristic question on the stock market, nonlinear kinetics predicts that the foundation question of the model is a subject that domestic and international financial circle , academia have paid close attention to very much in recent years.Because the stock markets of Shanghai , Shenzhen start early, there are many data, and the deep bid index has synthesized the influence of various fields, have stronger representativeness. This text has analysed steel of Handan of Shanghai and stock closing price for many years of Baoan , Shenzhen in stock markets of Shanghai and Shenzhen at first, describe trend picture that closing price change over time of stock its , adopt R/S analytic approach, calculate out H index smaller than 0.5 , indicate two these change of stock market resist lasting dependence, have memory for a long time nature, therefore short-term forcast is possible. Utilize time array analytical method then , use one door limit autoregression in common use modeling method of model in time series analysis, turn non-linear door limit autoregression model into linear AR model is it deal with , cut apart data , segment modeling to go on, have set up the nonlinear kinetics model of the stock market. The result shows : Model this consider need of practical application , fit the real data good too. And incomplete result that difference analyse verify this too. Then, have predicted stock markets of Shanghai and Shenzhen with the completed nonlinear kinetics model, predict data is it fit to go on with figure of real data , compare real data (20 bargain day ) with datum that are predicted, the result is satisfactory, show the rationality andaccuracy of this model further. Finally , examine the real example through selecting several stocks of Shanghai , Shenzhen for use, the result has shown Shanghai, deep complicated non-linear characteristic of stock market too, have announced the remarkable non-linear dynamical system characteristic of the stock market. Will adjust decision for the government , evade the risk for the stock owner , offer the scientific theoretical foundation in all these.In a word, this text uses the non-linear analytical method, has overcome the traditional idea in the stock market, namely: Determinism view and talking about the limitation of the view at random. Have announced the non-linear characteristic of Shanghai , deep stock market. Set up one time door limit prediction model of autoregression of array , study for nonlinearity of stock market this front field make new try a bit.