The multifractal structure analysis in China stock market

@article{Ruan2005TheMS,
  title={The multifractal structure analysis in China stock market},
  author={Jian Ruan and Su-Lin Pang and Wei-qi Luo},
  journal={2005 International Conference on Machine Learning and Cybernetics},
  year={2005},
  volume={5},
  pages={3058-3063 Vol. 5}
}
The chief aim of the present work is to investigate the features of multifractal structure of stock price index. It applies the multifractal detrended fluctuation analysis (MF-DFA) model to analyze the returns of both ShangHai synthesis stock price index (SHSSPI) and ShengZhen composite stock price index (SZCSPI). By calculating the generalized Hurst exponent h(q) and its function /spl tau/(q), the result shows that correlation of the generalized Hurst exponent h(q) and nonlinear behaviour of… CONTINUE READING