Forecast of Stock Price Volatility Based on the Multi-Fractal Spectrum Analysis

This paper mainly employs multi-fractal spectrum theory to study the time series of stock price fluctuations law. First, multi-fractal analysis on the stock market of China prove that stock price fluctuations obey multi-fractal random walk, and then research on the Multi-spectrum characteristics change before and after the continued strong fluctuations time sequence of stock prices through empirical analysis. Then, study the relationship between the Multi-spectrum parameters and price changes in the time series, thus proving that Multi-spectrum parameters has some predictive capability. Finally construct the stock price volatility forecast model, the clustering forecast on the Multi-spectrum parameters access to the higher accuracy forecast results, It show out a new research method on the stock price forecasting..