Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA
Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA
复制标题
中国股市的非对称多重分形标度行为：基于非对称MF-DFA
DOI：
10.1016/j.physa.2012.10.042
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发表时间：
2013-02-15
影响因子：
3.3
通讯作者：
Xu, Longbing
中科院分区：
文献类型：
--
作者：
Cao, Guangxi;Cao, Jie;Xu, Longbing
本文利用非对称多重分形去趋势波动分析方法研究了中国股票市场的非对称多重分形标度行为。结果表明，中国股票市场上升趋势的多重分形度强于下降趋势的多重分形度。相关不对称性在大波动中比在小波动中更明显。通过对非对称多重分形性来源的讨论，发现当市场上涨时，多重分形性与长期相关性有关，而当市场下跌时，多重分形性与厚尾分布有关。上海股市的非对称标度行为主要来源于长期相关性，而深圳股市的非对称标度行为主要来源于厚尾分布。对标度不对称性的时变特征的分析表明，中国两个股票市场标度不对称性的演化趋势是相似的。重大金融和经济事件可能会增强标度不对称性。(C)2012爱思唯尔有限公司版权所有。
We utilized asymmetric multifractal detrended fluctuation analysis in this study to examine the asymmetric multifractal scaling behavior of Chinese stock markets with uptrends or downtrends. Results show that the multifractality degree of Chinese stock markets with uptrends is stronger than that of Chinese stock markets with downtrends. Correlation asymmetries are more evident in large fluctuations than in small fluctuations. By discussing the source of asymmetric multifractality, we find that multifractality is related to long-range correlations when the market is going up, whereas it is related to fat-tailed distribution when the market is going down. The main source of asymmetric scaling behavior in the Shanghai stock market are long-range correlations, whereas that in the Shenzhen stock market is fat-tailed distribution. An analysis of the time-varying feature of scaling asymmetries shows that the evolution trends of these scaling asymmetries are similar in the two Chinese stock markets. Major financial and economical events may enhance scaling asymmetries. (C) 2012 Elsevier B.V. All rights reserved.