Journal of Shanghai University（Natural Science Edition） ›› 2012, Vol. 18 ›› Issue (4): 384-389.doi: 10.3969/j.issn.1007-2861.2012.04.011
• Mathematics.Physics and Chemistry • Previous Articles Next Articles
CAI Yun-shu,LU Zhi-ming
Online:
Published:
Abstract: Shanghai composite index (SCI) is decomposed into a series of intrinsic mode functions (IMFs) and a residual using the empirical mode decomposition (EMD) method. Fluctuation properties of each IMF are obtained. A basic statistic analysis and fitting on the distribution of the IMFs reveal that the “leptokurtosis, fattailed” characteristics of IMFs obey tdistribution with a degree of freedom 3. Fluctuation cycles and characteristics on widely concerned time scales, such as week, month, half year, etc are obtained. Particularly, fluctuation properties of typical rising and dropping periods are analyzed.
Key words: empirical mode decomposition (EMD), financial time series, intrinsic mode function (IMF)
CLC Number:
TN 911.6
F 224
CAI Yun-shu,LU Zhi-ming. Analysis of Shanghai Composite Index Time Series Based on Empirical Mode Decomposition[J]. Journal of Shanghai University（Natural Science Edition）, 2012, 18(4): 384-389.
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URL: https://www.journal.shu.edu.cn/EN/10.3969/j.issn.1007-2861.2012.04.011
https://www.journal.shu.edu.cn/EN/Y2012/V18/I4/384
