基于混沌分析的汇率波动研究

《基于混沌分析的汇率波动研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、厦门大学硕士学位论文基于混沌分析的汇率波动研究姓名：陈少龙申请学位级别：硕士专业：国际金融学指导教师：杜朝运20090501AbstractManyindustrialcountriesadoptfloatingrateregimeafterthecollapseoftheBrettonWoodssystem，andexchangeratebehaviorhasmoreandmorenonlinearfeatures．ThetraditionalexchangeratetheoriesCannotexplaintherealfluct

2、uationofexchangerateverywell．Chaostheoryofexchangeratebecomesanewdirectiontostudythefluctuationofexchangerate．Chaoticmodelofexchangerateisatremendousprogress，fortlleycanexplainthenonlinearfluctuationofexchangeratemoresuccessfulthanthetraditionalexchangeratetheories．Thet

3、hesisstudiesthechaoticfeaturesoffiveexchangerates晰也aseriesofmethodsofchaosanalysis，andalsostudiesthechaoticmodelofexchangerate．Thefirstchapterreviewsthefeaturesofexchangerate,commentsonthetraditionalexchangeratetheories，andpointsouttheirlimitation．Basedonlinearmodel，the

4、traditionalexchangeratetheoriesCannotexplainthenonlinearfeaturesofexchangerateverysuccessfully,becausetherealfluctuationofexchangerateisverycomplicated．Andthenthischapterintroducesthechaostheorybriefly,includingthedefinitionofchaos，methodsofchaosanalysislikeLyapunovexpo

5、nentandcorrelationdimension，statespacereconstructiontechniqueandsomethingabouttheanalysisofchaotictimeseries．ThesecondchapterusesaseriesofmethodsofchaosanalysistostudythebehaviorsoffiveexchangeratesincludingCNY／USD，EURJUSD，CHF／USD，YEN／USD，andMXN／USD．First,thischaptercal

6、culatesfiveexchangerates’correlationdimensionsandthelargestLyapunovexponents，andthencomestoaconclusionthateachoffiveexchangeratesisachaoticsystem．Second，thischapteradoptsweightedzero—orderlocal—regionmethodtoforecastshort-termexchangerate，theresultsshowthattheprediction

7、hashighpredictingprecision．Thethirdchapterintroduceschaoticmodelofexchangerateandsimulatesthebehaviorofexchangerateusingchaoticmodelofexchangerate，andunitroottestsofthenumericalsimulationresultsdemonstratechaoticmodelofexchangerate’Sbehaviorhasthesamefeatures勰therealexc

8、hangerate’S．AtlaSt，thethesisoutlookschaostheoryofexchangerateinthefuture．Keyword：Exchangerate,chaos，timeseries