A New Method of Financial Risk Management Based on Multifractal

被引：0

作者：

Ma, Shuang ^{[1
]}

Jiang, Aiping ^{[1
]}

机构：

[1] Heilongjiang Univ, Coll EE, Harbin, Peoples R China

来源：

PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE FOR YOUNG COMPUTER SCIENTISTS, VOLS 1-5 | 2008年

关键词：

Multifractal spectra; risk management; turning point; financial time series; forecast;

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

The key point of financial risk management is whether the fluctuation characteristics of financial asset's price can be grasped and the turning point of market be forecasted or not. In this paper, the high-frequency Hang Seng index (HSI) in Hong Kong stock market was analyzed by multifractal. The correlation of the parameters of the multifractal spectra with the variation of stock index was studied statistically. We find that closing index fluctuations is related to a main parameter of multifractal spectrum of daily high frequency (per 5min) closing index of HSI Delta f. A forecasting algorithm of stock index turning point based on Delta f of the previous 3 day is proposed. According to the results of test, this algorithm's accuracy can reach up to 90.5%.

引用

页码：2994 / 2998

页数：5

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