In this paper,determination of the characteristics of futures market in China is presented by the method of the phase-randomized surrogate data.There is a significant difference in the obtained critical values when th...In this paper,determination of the characteristics of futures market in China is presented by the method of the phase-randomized surrogate data.There is a significant difference in the obtained critical values when this method is used for random timeseries and for nonlinear chaotic timeseries.The singular value decomposition is used to reduce noise in the chaotic timeseries.The phase space of chaotic timeseries is decomposed into range space and null noise space.The original chaotic timeseries in range space is restructured.The method of strong disturbance based on the improved general constrained randomized method is further adopted to re-deternination.With the calculated results,an analysis on the trend of futures market of commodity is made in this paper.The results indicate that China＇s futures market of commodity is a complicated nonlinear system with obvious nonlinear chaotic characteristic.展开更多
基金supported by the National Natural Science Foundation of China(No.10632040)
文摘In this paper,determination of the characteristics of futures market in China is presented by the method of the phase-randomized surrogate data.There is a significant difference in the obtained critical values when this method is used for random timeseries and for nonlinear chaotic timeseries.The singular value decomposition is used to reduce noise in the chaotic timeseries.The phase space of chaotic timeseries is decomposed into range space and null noise space.The original chaotic timeseries in range space is restructured.The method of strong disturbance based on the improved general constrained randomized method is further adopted to re-deternination.With the calculated results,an analysis on the trend of futures market of commodity is made in this paper.The results indicate that China＇s futures market of commodity is a complicated nonlinear system with obvious nonlinear chaotic characteristic.
