中文

Journal of Shanghai University >

2012 , Vol. 18 >Issue 4: 384 - 389

DOI: https://doi.org/10.3969/j.issn.1007-2861.2012.04.011

Mathematics.Physics and Chemistry

Analysis of Shanghai Composite Index Time Series Based on Empirical Mode Decomposition

Expand
  • （Shanghai Institute of Applied Mathematics and Mechanics, Shanghai University, Shanghai 200072, China）

Online published: 2012-08-30

Fold

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, fattailed” characteristics of IMFs obey tdistribution 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)

Cite this article

CAI Yun-shu,LU Zhi-ming . Analysis of Shanghai Composite Index Time Series Based on Empirical Mode Decomposition[J]. Journal of Shanghai University, 2012 , 18(4) : 384 -389 . DOI: 10.3969/j.issn.1007-2861.2012.04.011

Options
Outlines

/

〈 〉