Study Of The Application Of Chaos And Fractal Theory In The Future Market

We can't avoid non-linear problems if we want to understand the economic systemand capital market correctly. The complexity and changeability of the capital marketare just caused by the non-linear effect. In practice, the wide range of fluctuation inthe futures prices and the high auto correlation in some economic time sequences arerepresented as non-linearity clearly. Whether in theory or in practice, we should attachhigh importance to the non-linear problem in capital market. Combined closely withthe non-linear fractal theory, this paper researches the prediction theory and method incapital market deeply and analyzes the complex fractal character, providing usefultools for the capital market analysis and decision. The contents are summarized asfollows:1. Introduction. The research background and significance are introduced. The research status of related fields are reviewed. And I introduced the main content and creation points of this paper.2. Study of the future market theory. I introduce and analyze the effective market hypothesis theory under the traditional capital market research format. The non-linear character of future market is analyzed deeply. At last, the chaos theory and fractal theory are introduced and their significant meaning in the capital market research are discussed.3. Study of the chaos character in the non-linear time sequence of future market. In order to identify the chaos character, we use C-C method to calculate the minimum embedded dimension m and time lag parameter τsimultaneously. And I introduce a practical method—small data scale method to calculate the Lyapunov index. At last, a case study is produced base on the above methods.4. Study of the fractal character of the future market. Hust index calculation method and non-linear time sequence R/S analyze method are introduced. By R/S study on the yield rate of futures copper and soy, I analyze the fractal character of China's future market. And I put forward method to estimate the fractal character and non-linear structure by throwing the former observation order into confusion.5. Study of the weavelet prediction method in chaos time sequence of futures market. We should build prediction model more practical by analyzing the interior mechanism of economic system. In this paper, I introduce such a model and makeimprovement in practice.