We divided the whole series of Shenzhen stock market into two sub-series at the criterion of the date of a reform and their scale behaviors are investigated using multifractal detrended fluctuation analysis (MF-DFA). Employing the method of rolling window, we find that Shenzhen stock market was...

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...

In this paper, we investigate the Shanghai Interbank Offered Rate (SHIBOR) employing the chaos recognition and fractal analysis. We find that all interest rates of SHIBOR are chaotic systems with multifractal nature. The volatilities of the short-term interest rates are larger than the medium-...

In this paper, we analyze market efficiency for the Shanghai stock market over time using a model-free method known as multifractal detrended fluctuation analysis. Through analyzing the change of scale behavior, we find that the price-limited reform improved the efficiency in the long term, but...

We divided the whole series of Shenzhen stock market into two sub-series at the criterion of the date of a reform and their scale behaviors are investigated using multifractal detrended fluctuation analysis (MF-DFA). Employing the method of rolling window, we find that Shenzhen stock market was...

The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time scale behavior of crude oil return series....