Multifractality of Financial Time Series

被引：0

作者：

Zhang, Hong ^{[1
]}

Li, Wenguo ^{[1
]}

Yu, Qiang ^{[2
]}

机构：

[1] Hebei Univ Engn, Dept Math, Handan, Peoples R China

[2] Hengshui Univ, Coll Math & Comp Sci, Hengshui, Peoples R China

来源：

2009 INTERNATIONAL CONFERENCE ON FUTURE BIOMEDICAL INFORMATION ENGINEERING (FBIE 2009) | 2009年

关键词：

multifractal spectrum; Time series analysis; Hurst exponent; detrended fluctuation analysis; DETRENDED FLUCTUATION ANALYSIS;

D O I：

暂无

中图分类号：

R318 [生物医学工程];

学科分类号：

0831 ;

摘要：

This paper investigates the Hang Seng Index data collected in the Hongkong stock market over a period of 5315 trading days, from December 31, 1986, to June 6, 2008. With the aid of the multifractal detrended fluctuation analysis (MF-DFA) method, the multifractality of the Hang Seng Index series is shown in this paper. Furthermore, we apply the multifractal spectrum to study the time series, and the result shows the strong degree of multifractality in the time series.

引用

页码：237 / +

页数：2

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