Xinsheng Lu

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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 futures returns exhibit long-range correlations and multifractality,(More)
This paper investigates the impact of China's monetary policy changes on A-share market by intra-day data, which makes a special contribution to the existing literature by designing the “event windows” with tick data. This method solves the endogeneity problem between the financial market and the monetary policy, and also allows us to separate(More)
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