Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - Faculty of Business, Auckland University of Technology - 2012
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 2,942 ten-minute closing prices, we find that the Chinese stock index...