Multifractal analysis of Hang Seng index in Hong Kong stock market

In this paper, the daily Hang Seng index in Hong Kong stock market is analyzed by multifractal. The correlation of the parameters of the multifractal spectra with the variation of close return Z is studied statistically. It is found that the amount of the variation of return is correlated with the amount of Δα of that day. The increase or decrease of the return is related to the positive or negative value of Δf. The gain probability and the increasing dayʹs probability can be higher than 70% at the larger Δf region and be lower than 20% at the more negative region.