1. TESTING FOR NONLINEARITY IN SHANGHAI STOCK MARKET.
- Author
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Wang Haiyan and Tang Longkun
- Subjects
- *
STOCK exchanges , *NONLINEAR theories , *MATHEMATICAL analysis , *MULTIVARIATE analysis - Abstract
In this paper, we apply IAAFT to generate surrogate time series of measured multivariate time series. A quantitative method to detect nonlinearity in multivariate time series is proposed using the generalized redundancy and linear redundancy as the significance test statistic. The null hypothesis of a multivariate linear Gaussian random process is tested using the multivariate surrogate data. The validity of this method is demonstrated using two types models (linear and nonlinear) and applied to Shanghai stock market. [ABSTRACT FROM AUTHOR]
- Published
- 2004
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