Title :
A New Method of Financial Risk Management Based on Multifractal
Author :
Ma, Shuang ; Jiang, Aiping
Author_Institution :
Coll. of EE, Heilongjiang Univ., Harbin
Abstract :
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 Deltaf. A forecasting algorithm of stock index turning point based on Deltaf parameters of multifractal spectrum of the previous 3 day is proposed. According to the results of test, this algorithm´s accuracy can reach up to 90.5%.
Keywords :
economic forecasting; financial management; risk management; stock markets; Hong Kong stock market; financial risk management; forecasting algorithm; high-frequency Hang Seng index; multifractal spectra; multifractal spectrum; stock index; Doped fiber amplifiers; Economic forecasting; Educational institutions; Fluctuations; Fractals; Predictive models; Risk management; Stock markets; Time series analysis; Turning; Multifractal spectra; financial time series; forecast; risk management; turning point;
Conference_Titel :
Young Computer Scientists, 2008. ICYCS 2008. The 9th International Conference for
Conference_Location :
Hunan
Print_ISBN :
978-0-7695-3398-8
Electronic_ISBN :
978-0-7695-3398-8
DOI :
10.1109/ICYCS.2008.283
