Multifractal analysis of Hang Seng index in Hong Kong stock market
Multifractal analysis of Hang Seng index in Hong Kong stock market
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DOI：
10.1016/s0378-4371(00)00606-3
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发表时间：
2001-03
影响因子：
3.3
通讯作者：
Xia Sun;Huiping Chen;Ziqin Wu;Yongzhuang Yuan
中科院分区：
文献类型：
--
作者：
Xia Sun;Huiping Chen;Ziqin Wu;Yongzhuang Yuan
本文利用多重分形理论对香港股市恒生指数的日波动进行了分析。统计分析了多重分形谱参数与近场收益率Z变化的相关性。研究发现，收益率的变化量与当日的Δα值相关。收益的增减与Δf的正值或负值有关。在Δf较大的区域，增益概率和增加日概率可大于70%，在Δf较负的区域，增益概率和增加日概率可小于20%。
In this paper, the daily Hang Seng index in Hong Kong stock market is analyzed by multifractal. The correlation of the parameters of the multifractal spectra with the variation of close return Z is studied statistically. It is found that the amount of the variation of return is correlated with the amount of Δα of that day. The increase or decrease of the return is related to the positive or negative value of Δf. The gain probability and the increasing day's probability can be higher than 70% at the larger Δf region and be lower than 20% at the more negative region.