کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974458 932979 2010 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Power law and multiscaling properties of the Chinese stock market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Power law and multiscaling properties of the Chinese stock market
چکیده انگلیسی

We investigate the cumulative probability density function (PDF) and the multiscaling properties of the returns in the Chinese stock market. By using returns data adjusted for thin trading, we find that the distribution has power-law tails at shorter microscopic timescales or lags. However, the distribution follows an exponential law for longer timescales. Furthermore, we investigate the long-range correlation and multifractality of the returns in the Chinese stock market by the DFA and MFDFA methods. We find that all the scaling exponents are between 0.5 and 1 by DFA method, which exhibits the long-range power-law correlations in the Chinese stock market. Moreover, we find, by MFDFA method, that the generalized Hurst exponents h(q)h(q) are not constants, which shows the multifractality in the Chinese stock market. We also find that the correlation of Shenzhen stock market is stronger than that of Shanghai stock market.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 389, Issue 9, 1 May 2010, Pages 1883–1890
نویسندگان
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