Study On The Non-Linear Theory Of The Stock Market In China

The economical system which is a nonlinear system originally has the extremely complex nonlinear characteristic, because of irreversibility in the time, multiple of the cause and effect feedback and uncertainty on the line. As an important constituent in the economical system, the stock market is not a simple linear system, but an extremely complex nonlinear system. The research in recent years indicates that it has huge superiority and potential to utilize the non-linear science theory and method in the research of the stock market, it also demonstrates the formidable vitality. It has extremely important theory and practical significance to study the stock market using the nonlinear method. In the paper, we have systematically studied the non-linear characteristic of our country's stock market, in the theory aspect. Then have drawn a series of conclusions about the non-linear behavior in our country's stock market. In the practical aspect, using the R/S fractal theory to explain and forecast kinds of complex economic phenomena has the extremely vital practical significance.In this paper, we have studied the China stock market's non-linear characteristic through using the R/S analysis method. First, we analyses the closing dates, which comes from the composite index of the Shanghai Stock market and the ingredient index of the Shenzhen Stock market in our country from 1996 to 2007, with the R/S method and using the tool of EViews and Excel software. Second, we discover that the Chinese Stock market which does not obey the normal distribution has the long-term memory to walk randomly stochastically. Through carrying on the partition return to the data, we discover that the stock market is a nonlinear system, there are many different kinds of noises in the stock market, we will apply the R/S analysis in the noise sequence to examine it is still valid or not. Finally, we forecast our country stock market with the Black-Scholes model, and make the non-linearity in forecasting our country's stock playing a good role.