ֻ25जֻ3௹, 2012୍7ᄅ ୡѯն࿐࿐Бč۽ϱĎ ൮ࢽᇏݓۚႪྮ॓௹़ࢂ , July 2012 JOURNAL OF NINGBO UNIVERSITY ( NSEE ) ᆄࡾസႪྮ॓௹़၂֩ࢂ ᆣಊ൧ӆྐ༏᧦ඌᆷѓܒࡹაႋႨ *Ќ, ഔૼྒ, נιਊ, ྷѧᆒ čୡѯն࿐ ࿐ჽ, ᆄࡾ ୡѯ 315211Ď ᅋေ: ࿊౼ഈᆣૄ۱ࢌၞರ֥ರཌඔऌ, ѩؓఃࣉྛ࠹ٳ༅. ൮༵০Ⴈཬѯࢆᄮඌ, ֤ԛྐ༏᧦ඌᆷѓ, ಖުൡ֒࿊౼ྐ༏᧦ᚐᆴࣉྛٳ༅, ֤ԛࡎ۬ሼ൝ၛࠣ൧ӆหׄؓႋ֥ྐ༏᧦ᆷѓ, ࣉطᆷԛఃؓӉཌሧྐ༏᧦ඌᆷѓ֥ႋႨऎႵޓݺ֥ҕॉࡎᆴ. ܱՍ: ྐ༏᧦; ཬѯٳ༅; ᧦ᚐᆴ ᇏٳোݼ: ໓ངѓ്: A ໓ᅣщݼ: 1001-5132č2012Ď03-0079-04ྐ༏൞۱ޓԎའޓॺ֥ٗۀ, ޓႨ၂۱֥эਈ, ॖିႵn۱౼ᆴ, ૄ۱౼ᆴ෮ؓႋ֥[1]ࡥֆ֥קၬࡼఃປಆሙಒϜ. ರૌ෮ᆷ֥ۀੱٳљູp,p,",p,",p, ᄵఃྐ༏᧦ॖіඍ12inྐ༏ਈ֥նཬ, ၂Ϯޓ֤֞၂۱ಒק֥ਈ߄ඔູ༯ൔ: nᆴ; طᄝᆣಊ൧ӆᇏ, ܢն؟ඔ൞০Ⴈሱ࠭෮ᅧH=−plogp.(1) ∑ii֥ྐ༏ট؎ޅᇕᆣಊᆴ֤ӻႵaӻႵ֥ൈࡗေi=1ؓႿэਈ֥ۀੱᆴط, ఃᆴᄀն, ః҂ಒק؟ࣲaޅൈࣉӆޅൈԛӆĤಖط, ܢ෮ᅧ֥ྐྟᄀն, ྐ༏᧦္ᄀն, ၩሢམေ۷ݺֹಒקః༏ָ֞൞۱હဢሰĤྐ༏ਈᄀնᄀݺગĤᄸહҌି؎ᆃᇕྐ༏֥ࡎᆴĤಖط, ၂۱ۀੱٳऎุ౦ঃ, ෮ླေ֥ྐ༏ਈࣼᄀն, ࠹ෘ෮֤֥ྐ༏᧦္ࣼᄀն. ط֒p=1,p=p="=p=0ൈ, ҃ॖၛФקၬӮ၂۱o᧦p֥ਈ, ऎႵྸ؟หྟ12inᆃ۱ෛࠏэਈࣼФಒק, ఃྐ༏᧦ቋཬູ0. ژކ؇ਈྐ༏֥ᆰܴေ, ၹՎ, гᆀࣼၛഈ໙ีቓԛਈ߄ࢳճ, ѩࣼՎܒࡹྐ༏᧦֥ඌᆷѓಖط, ᆣಊ൧ӆ֥ࡎ۬ሼ൝൞҂؎э߄֥, ุ. གྷ֥ྐ༏᧦ᆴ္ෛᆭ҂؎э߄, ၹՎ, ૌᆺնгᆀၛഈᆣᆷඔ000001֥ࢌၞൈࡗaषaKཌ֥ሼ൝൞ޓ؎༯၂۱ᇛ௹ࡎ۬൞ᅨߎ൞ቋۚaቋ֮a൬aӮࢌਈaӮࢌحaᅨඔaיඔa[3]ӻҝਈaٳгaषਈaषحඔऌູྐ༏ܒࡹྐי. ෮ၛ, ิ౼ԛ෮ླေ֥ྐ༏, ѩ࠹ෘ֤֞1۱ൡކࡎ۬ٳ༅֥ᆷѓࣼႭູᇗေ, طՎൈ֥ྐ༏᧦ᆷѓ, ࿊౼ඔऌູ1991୍5ᄅ13ರᇀ2012༏᧦ᆷѓࣼିޓݺֹіགྷԛܢ൧ࡎ۬ሼ൝ބ൧ӆ୍3ᄅ22ರᆃ20୍֥ರཌඔऌ; ᆭ෮ၛીႵ࿊౼1991୍5ᄅ13ರᆭభ֥ඔऌ, ൞ၹູᄝՎൈࡗᆭหׄ. భ֥ඔऌႵུ൞҂ປᆜ҂໗ק֥, ҂ିุགྷԛ[4]2 ᆷѓଆࡹ৫ݖӱ ྐ༏᧦࠹ෘ֥໗קྟބॖྐ؇. (1) ࿊౼ඔऌჷ. ࡼඔऌჷᇏ֥ૄCircel۱ࢌ1 ྐ༏᧦ ၞರቔູ1۱ൈࡗᇛ௹ֆ໊(໓ᇏCircelູ15), ܋1948୍, Shannonࢹਔಣ৯࿐֥ۀ, ࡼྐٳູmቆඔऌ(໓ᇏmູ326), ࡼૄਙඔऌ(ष[2]༏ᇏஆԢਔჅު֥नྐ༏ਈӫoູྐ༏᧦p, ࡎaቋۚࡎ֩)ቔູ1۱ཬቆඔऌ࠹ෘྐ༏᧦ᆴ, іѩ۳ԛਔ࠹ෘྐ༏᧦֥ඔ࿐іղൔ. ؓႿ1۱ෛࠏ1ູඔऌ֥ٳቆਙіൕၩྙൔ, ၹჰඔऌᇙ؟, ၹ ൬۠ರ௹ 2012−03−31. ୡѯն࿐࿐Бč۽ϱĎຩᆶ: ࠎࣁཛଢ ݓࡅሱಖ॓࿐ࠎࣁč10774080Ď. ֻ၂ቔᆀ Ќč1981ĒĎ, ଳ, תਢၑದ, ᄝණൖ࣮ള, ᇶေ࣮ٚཟ: ࣁವაگᄖ༢৯࿐. E-mail: baoshan2007@*๙ቔᆀ ྷѧᆒč1959ĒĎ, ଳ, ת֣ᇜದ, Ѱൖ/࢝൱, ᇶေ࣮ٚཟ: ࣁವაگᄖ༢৯࿐. E-mail: xubingzhen@
80 ୡѯն࿐࿐Бč۽ϱĎ 2012 і1 ඔऌჷٳቆਙі …ࢌၞൈࡗ षࡎ/ჭ ቋۚࡎ/ჭ ቋ֮ࡎ/ჭ൬ࡎ/ჭӮࢌਈ/൭ ӮࢌحӮࢌح/ჭ …1991-05-13 235 182000 …………………… Վᆺਙൕ࿊౼ֻ֥1۱ඔऌ۬ൔ, ఃჅ۬ൔनཌྷ. ࡎ݂۬၂߄ԩު֥ࡎ۬ਙؓႋೂ2෮ൕ. (2) ࿊౼ૄ۱ཬቆඔऌֻ2฿ඔᆴࡨಀభ1฿(10) ࿊౼טᆜު֥᧦ᆴਙᇏൡ֥֒ྐ༏᧦ඔᆴ, ֤֞ཌྷႋҵᆴ, ࠹ෘ܄ൔೂ༯: ChaZhi=data(i+1)−data(i),(2) ఃᇏ, data(i),data(i+1)ٳљіൕభ1฿ބֻ2฿ඔᆴඔऌ. (3) ۴ऌ࠹ෘᆭު֥ChaZhi, ࠹ԛնႿaཬႿބ֩Ⴟਬ֥ChaZhi۱ඔn(ChaZhi>,
=0)۲ູ؟ഒ, ࠹ෘఃᆴ෮ᅝ֥бᇗ(ູࠧۀੱ), ࠹ෘ܄ൔೂ༯: n(ChaZhi>,<=0)p(ChaZhi>,<=0)=. (3) Circel (4) ᄝྐ༏᧦ᆴ࠹ෘᇏ, ႮႿlog(0)൞ၩၬ֥, ෮ၛ, p(ChaZhi>,<,=0)=0ൈ, ࡼఃᆴڿູ-10-10-10p(ChaZhi>,<=0)=, ॖ࠹ෘč10Ďlogč10Ď∝0, ෮ၛ҂߶႕ཙ᧦ᆴ࠹ෘ. p(ChaZhi>,<,=0)ॖࡥཿູp(C>,<,=0), ྐ༏᧦࠹ෘ܄ൔೂ༯: H=−[(p(C>0))log(p(C>0))+ m(p(C<0)log(p(C<0) (p(C=0))log(p(C=0))]. (5) ࠹ෘૄ۱ᇛ௹Circelࢌၞರ֥ሹྐ༏᧦ᆴ֥܄ൔູ: Circel H=H. mi∑m1 ྐ༏᧦ჰྐݼ(a)აٳҪᚐᆴࢆᄮྐݼ(b)֥ؓбm=1(6) ࠹ෘmቆඔऌሹྐ༏᧦ᆴ֥܄ൔູ: mH=H.(4)∑mii=1(7) ႮႿ࠹ෘ֤֥֞ྐ༏᧦ᆴਙ൞၂۱ᄮၻཌྷ֒ն֥ඔᆴਙ, ၹՎ, гᆀҐႨཬѯٳ༅ࢆᄮ[5-6]֥ٚمࡼఃᇶေ൝ਙࣉྛิ౼, ఃྐ༏᧦ჰྐݼაٳҪᚐᆴࢆᄮྐݼؓбೂ1෮ൕ. (8) ࡼഈᆣ1991୍5ᄅ13ರषᇀ2012୍3ᄅ22ರ֥20୍ࢌၞರರཌඔऌૄۯCircel۱൬ࡎ۬౼1۱ᆴ, ֤֞m۱ࡎ۬ൈࡗਙ. (9) ࡼࡎ۬ൈࡗਙބྐ༏᧦ᆴनቔ݂၂߄[7]ԩ, ູ۷ࡆౢ༉ֹඪૼ২, ࡼૄ۱݂၂߄֥ ྐ༏᧦ᆴᄹࡆ1, ֤֞טᆜު֥ྐ༏᧦ᆴਙ2 טᆜྐ༏᧦࿊౼หקᆴაࡎ۬ൈࡗਙؓႋ, ط
ֻ3௹ Ќ, ֩: ᆣಊ൧ӆྐ༏᧦ඌᆷѓܒࡹაႋႨ 81 і2 ൈࡗაࡎ۬ؓႋі ൈࡗ ࡎ۬/ჭ ൈࡗ ࡎ۬/ჭ ൈࡗ ࡎ۬/ჭ ൈࡗ ࡎ۬/ჭ 1992-06-18 -12-26 2001-10-152008-03-10 1992-12-07 -02-21 2002-03-282008-10-20 -12-06 1999-08-24 2004-03-252009-03-04 -08-04 -08-03 1999-12-14 2005-07-121994-10-07 -03-18 -06-02 2006-02-27 1995-01-23 2000-09-15 2007-09-27[8-9]ᚐᆴ, H=,H=(2), ಖު࿊౼ఃᆴّᆭ, H=ᄵ൞ࢠݺ֥છԛӆׄ, ဢؓabaؓႋ֥ൈࡗބ൬ࡎ۬(і2). ႿH༯ԬH=ൈ, ູࢠݺ֥ઙೆೆӆׄ, HbഈԬH=ൈ, છԛӆ. b3 ൌᆣٳ༅ ဢ, ྐ༏᧦ᆴିܔ؟ՑႵི۳ԛࡎ۬э߄ؓ2ࣉྛٳ༅, ॖ֤֞ೂ༯ྐ༏: अ҆ྛ౦֥ሇᅼׄ, ൧ބྦྷ൧ؓႋ҂ห֥ׄ(1) ᧦ᆴሹ൞ᄝᆒ֕ᇏ, ఃэ߄֥ཌྷؓږ؇ૼ᧦ᆴ, ᧦ᆴᄹնൈສສϴෛሢࡎ֥۬ᆑ֕ࠇᆀ༯ཁۚႿࡎ֥۬ཌྷؓэ߄ږ؇. י, ྐ༏᧦ᆴ֥ᆃུܿੰቀၛّ႘گᄖ൧ӆ֥၂(2) ӑԛ[H=,H=ٓ]ຶᆭຓ֥൬۱Ҫ૫. abࡎሼ൝ॖၛٳູਆᇕ౦ঃ, (1)H<H=ࡎҕᅶ2(A-W)ᇏؓႋೆӆaӆׄၛࠣઙೆaa۬नູഈᅨ; (2)H>H=ࡎ۬नູ༯י. છԛਈ߄൬ၭࣉྛሹࢲ, і3ູࠧቓॢ࠹і. b[2](3) ྦྷ൧֥ૼཁ֥หׄ൞᧦ᆴᆜุбࢠۚ, і3 ቓॢԛӆaೆӆؓႋׄᆴࠣః൬ၭі ၹՎ, ০ႨՎׄॖၛ؎ܢ൧൞ڎԩႿྦྷ൧. ᧦ᆴೆӆࡎ۬/ჭ ԛӆࡎ۬/ჭ ൬ၭ/ჭ ᄝلᆴH=(2ᇏඣཌ)ഈٚᆒ֕, ᄵіૼ (A) (B) ܢ൧ᆜุ۬अࢠ, ԩႿૼཁ֥ྦྷ൧ᇏ; ᆺႵ֒᧦ (C) (D) ᆴԉٳ༯ԬH=ཌ, Ҍॖၛ൪ູྦྷ൧ࢲඏ֥b (E) (F) ྐݼ(2ᇏ2010୍03ᄅ18ರؓႋ֥ᆰཌ). طଢ (I) (J) భ(ඔऌࢩᆸರູ2012୍3ᄅ22ರ)֥᧦ᆴಯᄝل (M) (N) ᆴഈٚᆒ֕ (O) (P) , іૼྦྷ൧ીႵࢲඏ. (S) (T) (4) ֒ྐ༏᧦ᆴ౷ཌഈԬH=ൈ, ࡎ۬ࡼb* (W) ေ༯י, ༯ԬHൈ, ࡎ۬ࡼေഈᅨ. b* ᇿ: ཌྷႋሳଛູ2ᇏؓႋ֥ൈࡗ, ༯; іൕ֥ൈࡗູ(5) ֒ྐ༏᧦ᆴ౷ཌ༯ԬބഈԬH=ൈ, a2012୍3ᄅ22ರ. ေᇿၩఃྐ༏᧦ᆴэ߄ਈ֥նཬ. ೂݔ᧦ᆴэ߄Ֆၛഈඔऌॖᆩ, ۴ऌᆷѓഈԬH=ቓbն, ପહ, ᧦ᆴ౷ཌ༯ԬH=ൈ, ࡎ۬ࡼေഈaॢೆӆ, ༯Ԭҝӆ, ૄ၂гࢌၞन႔০, ቋުᅨ, ഈԬH=ൈ, ࡎ۬ࡼေ༯י; ᧦ᆴэ߄ཬ, a၂Ց൞ᄝ2010୍03ᄅ18ರቓॢೆӆ, ࢩᇀ֞2012ᄵ҂၂קႵࡎ۬൝֥ྙӮ. ୍03ᄅ22ರᆷඔູ, ႔০ູჭ. (6) ྐ༏᧦ᆴᄝᄹնݖӱᇏ, ൞ࡎ۬э߄Ⴎ[10]і4 ቓ؟ԛӆaೆӆؓႋׄᆴࠣః൬ၭі ൝эູ֥ݖӱ, ၂Ϯ҂൞ೆӆ֥ൈࠏ. ྐ༏ೆӆࡎ۬/ჭ ԛӆࡎ۬/ჭ ൬ၭ/ჭ ᧦ᆴᄝH=ၛ༯ൈ֥э߄ݖӱԢຓ. a (G) (H) Ⴎၛഈ֥ࠫׄٳ༅, ࣼؓ໓ᇏఏԚ෮ิ֥ࠣ (K) (L) ࠫ۱໙ี֤֞ਔޓݺ֥ጫ, طೆӆൈࡗaӻҝൈ (Q) (R) ࡗaԛӆൈࡗٚ૫္֤֞ਔࢠݺ֥߭ճ, ᄝ᧦ᆴࡨ (U) (V) ཬݖӱᇏ, H=H=൞бࢠݺ֥ઙೆೆӆׄ, a
82 ୡѯն࿐࿐Бč۽ϱĎ 2012 , ၲ. Кࣘ: ࠏྀ۽ြԛϱഠ, 2009. і4ູቓ؟࠹і. , ᆷѓ༯ԬH=[2] ࡉൗੌ. ྐ༏ંંࠎԤ[M]. ݗغў: ݗغў۽ြնቓ؟ೆӆ, ഈԬҝӆ, ૄ၂гࢌၞ္न႔০. ࿐ԛϱഠ, 1986. 4 ࢲં [3] ब彧. ᆷ௹གྷส০ࡹଆࠣࢌၞൌགྷ࣮[D]. ഈݚ: گ֊ն࿐, 2008. ࢹྐ༏᧦֥ۀ, ࡼഈᆣᆷඔ၂༢ਙඔऌ[4] ྸޡ, ਾݓޙ. ࢌၞ༢ഡ࠹ٚم֥ฐษ[J]. ᆢᇜቔູྐ༏, ০Ⴈඔऌૄರэ߄ቔູྐ༏᧦࠹ෘ֥ݴॢ۽ြܵ࿐ჽ࿐Б, 2001,19(4):24-29. ࠎԤ, ѩ০Ⴈཬѯࢆᄮඌൌགྷ᧦ᆴಀᄮ. ֒ಖ, [5] ޥଡᇚ, ჯྩ. ࠎႿMatlab֥ཬѯٳ༅ᄝܢ൧ඌٳ༅ᇏ֥ႋႨ[J]. ༢۽ӱ, 2001, 14(5):87-92. ໓ᇏܒࡹ֥ྐ༏᧦ඌᆷѓᚐᆴൡކႿӉཌࢌၞ[6] Ӊޞ. Matlabཬѯٳ༅۽ऎདჰაႋႨ[M]. Кࣘ: ሧᆀ; ೂݔေቓ؋ཌࢌၞ, Ⴕ4ᇕϷمࢳथൈࡗݓٝ۽ြԛϱഠ, 2004. ॴ؇໙ี, ၂൞෪ཬᇛ௹Circel֥ᆴ, ؽ൞ࡼ࠹ෘ[7] ม. ሧष٢ൔࠎࣁ֥ڄག॥ᇅ࣮[D]. ဝ: ֤֥֞ྐ༏᧦ᆴࢆᄮԩږ؇ࡨཬ, ൞ॖၛࡼᇜն࿐, 2008. భ2ᇕٚمཌྷࢲކ, ඹ൞ॖၛ࿊౼ࢠཬᇛ௹ඔऌ[8] ၿފ௹ࠊ. ௹ࠊӱ߄ࢌၞ༢[EB/OL]. [2011-10-29]. (ೂ4Ha1Ha30Ma15Ma5Ma1M֩), ٚمᄵປ ಆཌྷ. ֒ಖ, ҂ܵ০Ⴈପᇕٚم, ఃྐ༏᧦ᚐᆴ[9] ਊ. ۱ದሧᆀሱࢌၞ༢֥ႋႨ࣮[D]. ଲୡ: ܼ༆ն࿐, 2009. ֥࿊౼၂קေႵਲࠃэ߄. [10] ້ဇ. ݓնა௨௹ࠊॴᇕส০ࢌၞଆ࣮[D]. Ӯ: ༆ଲࢌ๙ն࿐, 2008. ҕॉ໓ང: [1] Cover T M, Thomas J A. ྐ༏ંࠎԤ[M]. ࠝ൰, ᅦConstruction and Application of Information Entropy Index for Securities Market *WANG Bao-shan, SHAO Ming-xing, DING Ai-liang, XU Bing-zhen ( Faculty of Science, Ningbo University, Ningbo 315211, China ) Abstract: This article selects the data from each trading day of Shanghai Securities to conduct statistical analysis. First, we use the wavelet technique with noise reduction to obtain the information entropy of technical indicators, and then choose the appropriate information entropy threshold for carrying out the analysis. In so doing, we come up with the corresponding information entropy index of the price movements and market characteristics. Key words: information entropy; wavelet analysis; entropy threshold čᄳщࠠ ᅣ৫Ď
