山东大学学报（理学版） ›› 2014, Vol. 49 ›› Issue (07): 50-56.doi: 10.6040/j.issn.1671-9352.0.2014.032
沈文昊, 乔坎坤, 卢志明
SHEN Wen-hao, QIAO Kan-kun, LU Zhi-ming
摘要： 运用样本熵分析方法，对上证指数、深圳成指、恒生指数和道琼斯指数对数收益率时间序列进行了多尺度复杂性分析，证明了股票序列的熵值与金融市场稳定程度具有对应关系：当货币流通量增加时，金融股指的熵值提高，市场更成熟。同时对国内外金融股指的进一步对比分析表明，当市场受到控制时，即使货币流通量增加，熵值仍然会剧烈下降，市场发生明显的退化。最后通过对股指各时间尺度下熵值的横向对比，揭示了短、中、长期市场各自的特点。
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