Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7381006 | Physica A: Statistical Mechanics and its Applications | 2014 | 8 Pages |
Abstract
In this paper, we employ the Hilbert-Huang Transform to investigate the multifractal character of Chinese stock market based on CSI 300 index. The measured Hilbert moment Lq(Ï) shows a power-law behavior on the range 0.01<Ï<0.1minâ1, equivalent to a time scale range 10<Ï<100min. The measured scaling exponents ζ(q) is convex with q and deviates from the value q/2, implying that the property of self-similarity is broken. Moreover, ζ(q) and the corresponding singularity spectrum D(h) can be described by a lognormal model with a Hurst number H=0.50 and an intermittency parameter μ=0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Muyi Li, Yongxiang Huang,