Zhou, Weijie; Dang, Yaoguo; Gu, Rongbao - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 6, pp. 1429-1438
We apply the multifractal detrending moving average (MFDMA) to investigate and compare the efficiency and multifractality of 5-min high-frequency China Securities Index 300 (CSI 300). The results show that the CSI 300 market becomes closer to weak-form efficiency after the introduction of CSI...
