北京交通大学学报2013，Vol.37Issue(3)：133-138,6.
金融危机传染的非线性相似模型
Empirical analysis of financial contagion based on nonlinear similarity
摘要
Abstract
We modify the dynamical similarity method of nonlinear time series,and apply C-C method of phase space reconstruction and the sign-modified dynamical similarity model to estimate the similarity index between the financial markets of US and Britain,France,Germany,Japan and China respectively.The results show that nonlinear similarity between each country's stock index and that of US exists in different time and different degrees,which means US economy influences other countries in periods of economic prosperity,and also infects these countries in financial crises.The trends of model calculations and the phenomenon they present indicate that the sign-modified nonlinear dynamical similarity model is suitable for the financial market,and it is a practicable new method to analysis financial contagion.关键词
金融危机传染/非线性相似性/相空间/相似性指数Key words
financial contagion/ nonlinear similarity/ phase space/ similarity index分类
管理科学引用本文复制引用
惠晓峰,刘琳,邵颖峰..金融危机传染的非线性相似模型[J].北京交通大学学报,2013,37(3):133-138,6.基金项目
国家自然科学基金资助项目(71173060) （71173060）
