Journal of University of Chinese Academy of Sciences >
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
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
Li Ping , Wang Binghong . DNA Series Analysis Method Applied in Study of Financial Data Time Series[J]. Journal of University of Chinese Academy of Sciences, 2003 , 20(2) : 200 -204 . DOI: 10.7523/j.issn.2095-6134.2003.2.013
[1] 陈润生.物理,1998,27(1):30~36
[2] 郝柏林,刘寄星.理论物理与生命科学.上海:上海科学技术出版社,1999
[3] 罗辽复.生命进化的物理观.上海:上海科学技术出版社,2001
[4] R N Mantegna, H E Stanley. An introduction to econophysics: correlations and complexity in finance. Cambridge:Cambridge University Press,2000
[5] J D Farmer. Physicists attempt to scale the ivory towers of finance. Computing in Sci & Eng,1999,1(6):26~39
[6] T Lux, M Marchesi. Scaling and criticality in a stochastic multiagent model of financial market. Nature, 1999,397:498~500
[7] R N Mantegna, H E Stanley. Scaling behavior in the dynamics of an economic index. Nature, 1995,376:46~49
[8] O Malcai, O Biham, S Solomon. Power-law distributions and Levy-stable intermittent fluctuations in stochastic systems of many autocatalytic elements. Phys Rev E, 1998,60(2):1299~1303
[9] P Bak. How Nature Work.武汉:华中师范大学出版社,2001
[10] 刘郁强.序列空间法.广东:广东科技出版社,1996
[11] 姜丹,钱玉美.信息理论与编码.合肥:中国科学技术大学出版社,1992
/
| 〈 |
|
〉 |