| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480988 | Physica A: Statistical Mechanics and its Applications | 2013 | 11 Pages |
Abstract
⺠Asymmetric multifractal scaling behaviors are studied in the Chinese stock markets. ⺠Multifractality degree with uptrends is stronger than with downtrends. ⺠Correlation asymmetries are stronger for large fluctuations. ⺠The main source of scaling asymmetry in SSCI is different from that in SZCI. ⺠The scaling asymmetry in the Chinese stock market is time-varying.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Guangxi Cao, Jie Cao, Longbing Xu,