Evidence of multi-affinity in the Japanese stock market

Fluctuations of the Japanese stock market (Tokyo Stock Price Index: TOPIX) are analyzed using a multi-affine analysis method. In the research to date, only some simulated self-affine models have shown multi-affinity. In most experiments using observations of self-affine fractal profiles, multi-affinity has not been found. However, we find evidence of multi-affinity in fluctuations of the Japanese stock market (TOPIX). The qth-order Hurst exponent Hq varies with changes in q. This multi-affinity indicates that there are plural mechanisms that affect the same time scale as stock market price fluctuation dynamics.