Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis
Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis
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使用多重分形去趋势波动分析测量股价波动的多重分形
DOI：
10.1016/j.physa.2009.02.026
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发表时间：
2009-06
影响因子：
3.3
通讯作者：
Zhuang Xin-tian
中科院分区：
文献类型：
--
作者：
Yuan Ying;Jin Xiu;Zhuang Xin-tian
利用MF-DFA方法对上证指数日收益率进行分析，发现时间序列的多重分形性存在两种不同的来源，即厚尾概率分布和非线性时间相关性。在此基础上，利用5个交易日240个频率数据的滑动窗口研究了股票价格指数的波动。研究发现，当股票价格指数剧烈波动时，广义Hurst指数h（q）具有明显的波动性。因此，本文提出了两种基于广义Hurst指数的度量指标Δh和σ，用于比较涨跌幅限制和股权分置改革前后的金融风险。实证结果验证了测度的有效性，这有助于更好地理解复杂的股票市场。
Analyzing the Shanghai stock price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and non-linear temporal correlations. Based on that, a sliding window of 240 frequency data in 5 trading days was used to study stock price index fluctuation. It is found that when the stock price index fluctuates sharply, a strong variability is clearly characterized by the generalized Hurst exponents h(q). Therefore, two measures, Δh and σ, based on generalized Hurst exponents were proposed to compare financial risks before and after Price Limits and Reform of Non-tradable Shares. The empirical results verify the validity of the measures, and this has led to a better understanding of complex stock markets.
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DOI：
10.1016/j.physa.2003.10.023
发表时间：
2004-02
影响因子：
3.3
作者：
Ding-Shun Ho;Chung-Kung Lee;Cheng-Cai Wang;M. Chuang
通讯作者：
Ding-Shun Ho;Chung-Kung Lee;Cheng-Cai Wang;M. Chuang
DOI：
10.1016/j.physa.2007.09.015
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影响因子：
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DOI：
10.1016/j.physa.2005.11.019
发表时间：
2006-07-15
影响因子：
3.3
作者：
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通讯作者：
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影响因子：
64.8
作者：
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DOI：
10.1016/s0378-4371(00)00606-3
发表时间：
2001-03
影响因子：
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作者：
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