Multifractal description of stock price index fluctuation using a quadratic function fitting
Multifractal description of stock price index fluctuation using a quadratic function fitting
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DOI：
10.1016/j.physa.2007.09.015
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发表时间：
2008-01
影响因子：
3.3
通讯作者：
Ying Yuan;Xintian Zhuang
中科院分区：
文献类型：
--
作者：
Ying Yuan;Xintian Zhuang
为了定量刻画股票价格指数的多重分形特征，对2005年上证指数时间序列的多重分形谱进行了研究，并利用二次函数对多重分形谱进行了拟合。采用5个交易日的240个频率数据的滑动窗口，考察了股票价格指数的波动。利用二次函数拟合局部多重分形谱，得到每个窗口的多重分形参数和系数。研究发现，当股票价格指数剧烈波动时，多重分形参数和二次函数系数具有明显的波动性。这有助于更好地了解复杂的股票市场。
In order to obtain a quantitative multifractal characterization of the stock price index, the multifractal spectrum of Shanghai stock price index time series in 2005 was investigated and the multifractal spectrum was fitted using a quadratic function. A sliding window of 240 frequency data in 5 trading days was used to investigate the stock price index fluctuation. The multifractal parameters and coefficients in each window were obtained by fitting the local multifractal spectrum using a quadratic function. It is found that when the stock price index fluctuates sharply, a strong variability is clearly characterized by the multifractal parameters and the quadratic function coefficients. This has led to a better understanding of complex stock markets.