Title :
Multifractality of financial time series
Author :
Zhang, Hong ; Li, Wenguo ; Yu, Qiang
Author_Institution :
Dept. of Math., Hebei Univ. of Eng., Handan, China
Abstract :
This paper investigates the Hang Seng Index data collected in the Hongkong stock market over a period of 5315 trading days, from December 31, 1986, to June 6, 2008. With the aid of the multifractal detrended fluctuation analysis (MF-DFA) method, the multifractality of the Hang Seng Index series is shown in this paper. Furthermore, we apply the multifractal spectrum to study the time series, and the result shows the strong degree of multifractality in the time series.
Keywords :
economic indicators; fractals; stock markets; time series; Hang Seng Index; Hongkong stock market; financial time series; multifractal detrended fluctuation analysis method; multifractal spectrum; multifractality; Biomedical engineering; Computer science; Data engineering; Educational institutions; Fluctuations; Fractals; Mathematics; Multi-stage noise shaping; Stock markets; Time series analysis; Hurst exponent; Time series analysis; detrended fluctuation analysis; multifractal spectrum;
Conference_Titel :
BioMedical Information Engineering, 2009. FBIE 2009. International Conference on Future
Conference_Location :
Sanya
Print_ISBN :
978-1-4244-4690-2
Electronic_ISBN :
978-1-4244-4692-6
DOI :
10.1109/FBIE.2009.5405890
