DocumentCode
3379800
Title
Multifractality of financial time series
Author
Zhang, Hong ; Li, Wenguo ; Yu, Qiang
Author_Institution
Dept. of Math., Hebei Univ. of Eng., Handan, China
fYear
2009
fDate
13-14 Dec. 2009
Firstpage
237
Lastpage
239
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/FBIE.2009.5405890
Filename
5405890
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