Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 12, pp. 3484-3495
An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)−ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)−ln(Vt)) is confirmed using multifractal detrended fluctuation analysis....