Mixed multifractal analysis of China and US stock index series

被引：25
|
作者：
Dai, Meifeng [1 ]
Hou, Jie [1 ]
Gao, Jianyu [2 ]
Su, Weiyi [3 ]
Xi, Lifeng [4 ]
Ye, Dandan [1 ]
机构：
[1] Jiangsu Univ, Fac Sci, Nonlinear Sci Res Ctr, Zhenjiang 212013, Jiangsu, Peoples R China
[2] Bank China, Zhenjiang Branch, Sales Dept, Zhenjiang 212001, Jiangsu, Peoples R China
[3] Nanjing Univ, Dept Math, Nanjing 210093, Jiangsu, Peoples R China
[4] Zhejiang Wanli Univ, Inst Math, Ningbo 315100, Zhejiang, Peoples R China
来源：
CHAOS SOLITONS & FRACTALS | 2016年 / 87卷
基金：
中国国家自然科学基金;
关键词：
Multifractal analysis; Mixed multifractal spectrum; Stock market; SELF-SIMILAR MEASURES; DIFFUSION ENTROPY ANALYSIS; MARKETS; SIMILARITY; DIMENSION;
D O I：
10.1016/j.chaos.2016.04.013
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this paper, we study mixed multifractal properties of stock index series both in China i.e., SSEC, SZSE and US i,e., DJIA, NASDAQ by mixed multifractal analysis and exploit the inner relationship between them. Further more, we study the relationship between Chinese stock indices and US stock indices in different time period. The results show that there is a higher level of mixed multifractal between SSEC and SZSE, and a lower level between China stock indices and NASDAQ. On the contrary, China stock indices has the highest level with DJIA which means that DJIA not only relates to US stock market, but also affects China stock markets. (C) 2016 Elsevier Ltd. All rights reserved.
引用
收藏
页码：268 / 275
页数：8
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