Predictability of multifractal analysis of Hang Seng stock index in Hong Kong

被引：54
|
作者：
Sun, X [1 ]
Chen, HP
Yuan, YZ
Wu, ZQ
机构：
[1] Univ Sci & Technol China, Ctr Fundamental Phys, Hefei 230026, Peoples R China
[2] Hefei Rongshida Sanyo Elect Co Ltd, Hefei 230026, Peoples R China
来源：
PHYSICA A | 2001年 / 301卷 / 1-4期
关键词：
predictability; multifractal; Hong Kong index;
D O I：
10.1016/S0378-4371(01)00433-2
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper, the daily Hang Seng index in Hong Kong stock market is studied by multifractal analysis. The main parameter of multifractal spectra used is Deltaf, which can be used to characterize the ratio of number of highest index moments to that of lowest ones. The dependence of today's gain probability (G%) and the day's index increase probability (n%) with Deltaf of the previous 3 days are studied. It is found that G% and n% can reach 70-80% at the large positive Deltaf region and can be very close to 20% at the big negative Deltaf region. The predictability decreases with the increasing number of the previous days. (C) 2001 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：473 / 482
页数：10
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