收稿日期: 2002-04-12
修回日期: 2002-04-23
网络出版日期: 2003-03-10
基金资助
国家重点基础研究发展规划项目(973计划专项经费),国家自然科学基金(19932020, 19974039,70271070)及中国加拿大大学与工业联合基金CCUIPP-NSFC(70142005)等项目资助
DNA Series Analysis Method Applied in Study of Financial Data Time Series
Received date: 2002-04-12
Revised date: 2002-04-23
Online published: 2003-03-10
通过线性分段将连续性的金融时间序列转化为离散性的字符序列,并基于DNA序列分析法,讨论了此类字符序列的标度特性,以及在金融数据时间序列预测中的可能应用.
关键词： DNA; 金融数据; 时间序列; 符号序列; 自组织临界性理论(SOC)
李平 , 汪秉宏 . DNA序列分析法在金融数据时间序列中的应用[J]. 中国科学院大学学报, 2003 , 20(2) : 200 -204 . DOI: 10.7523/j.issn.2095-6134.2003.2.013
A continuous time seriesof financial data is transformed into a discrete symbolic series using piece-wise linearzingalgorithm. Based on DNA series analysis method, the scaling behaviors of the symbolic series and its application in prediction study for financial price data time series are discussed.
Key words： DNA; financial data; time series; symbolic series; self-organized criticality
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