We develop a nonlinear dynamic behavior model of stock price, which can portray the force of stock price movement based on intrinsic value and investor psychology generally called technical factor and liquidity. The model makes an assumption: There exist three fractal subsets to satisfy that one fractal subsets include the initial points which has non-steady trace brought by the stock intrinsic value; one anther fractal subsets include the initial points which has non-steady trace brought by the market mood and technology factor; the last fractal subsets include the initial points which has non-steady trace brought by the market liquidity. In addition, returns series of stock indices can be separated into three subsidiary series with wavelet transform based on the concept of the nonlinear dynamic behavior model.
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