Multifractal analysis of Chinese stock volatilities based on partition function approach
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with respect to box size $s$. The scaling exponents $\tau(q)$ form a nonlinear function of $q$. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the $p$-model in turbulence with $p = 0.40 \pm 0.02$. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets.
Year of publication: |
2008-01
|
---|---|
Authors: | Jiang, Zhi-Qiang ; Zhou, Wei-Xing |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Profitability of contrarian strategies in the Chinese stock market
Shi, Huai-Long, (2015)
-
Effects of polynomial trends on detrending moving average analysis
Shao, Ying-Hui, (2015)
-
Profitability of simple technical trading rules of Chinese stock exchange indexes
Zhu, Hong, (2015)
- More ...