Affiliation:
1. School of Science, Beijing Information Science and Technology University, Beijing 100192, P. R. China
Abstract
In this paper, we mainly use recurrence plot, recurrence quantification analysis and cross recurrence plot to investigate the potential nonlinear dynamical characteristics of the stock market. In addition, we introduce and analyze the capital asset pricing model (CAPM), which can analyze the correlation between returns and risks of stock price data. In particular, we selected the large-cap stocks represented by SSE 50 index and the small-cap stocks represented by CSI 500 index as our research objects. Through the recurrence plot analysis of the time series of [Formula: see text] factor of CAPM and the time series of the stock market, we can find the advantages of large-cap stocks, such as stronger stationarity and long-term certainty, the disadvantages of small-cap stocks, such as greater risk and information, and nonlinear cross recurrence with the stock market.
Funder
National Natural Science Foundation of China
Graduate course construction project of Beijing University of information technology -- Research on the role of guiding learning and politics in improving the quality of graduate training
Publisher
World Scientific Pub Co Pte Ltd
Subject
General Physics and Astronomy,General Mathematics
Cited by
2 articles.
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