Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 6, pp. 1452-1458
Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2942 ten-minute closing prices, we find that the Chinese stock index...