基于相空间重构的同业拆借利率混沌特性研究

Abstract

Abstract: Interbank rates have important effects on other interest rates in the financial market,and therefore it is very important to research the fluctuation of interbank rate.Based on phrase space reconstruction,the paper gives empirical analysis on chaos in China interbank offered rate.The paper analyzes chaotic characteristics of China interbank offered rate by correlation dimension and Kolmogorov entropy.The results demonstrate that interbank rate has chaotic properties,which make the long term forecast impossible.

Key words: interbank rate, chaos, correlation dimension, phrase space reconstruction

CLC Number:

F713.50

LI Yu-suo, QI Zhong-ying. A Study on the Chaotic Characteristics for Interbank Rate Based on Phrase Space Reconstruction[J]. Chinese Journal of Management Science, 2006, (6): 140-143.

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A Study on the Chaotic Characteristics for Interbank Rate Based on Phrase Space Reconstruction

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