The Hurst exponent derived by the R/S analysis method of Shanghai stock market's logarithmic return series is about 0.6298. This shows that the Shanghai stock market exhibits fractal features, and a long memory cycle of about one-and-a-half years. With the reconstruction of phase space, the Shanghai Stock attractor dimension converges to 1.335, which means that the Shanghai stock market has chaotic features, and constructing a dynamic system of the Shanghai stock market needs at least two variables. The findings from the principal component analysis support the conclusion of the existence of c...
