Multifractal Statistical Analysis of Financial Time Series

Author

Yuan, Ying ; Zhuang, Xin-tian

Author_Institution

Sch. of Bus. Adm., Northeastern Univ., Shenyang

fYear

2006

fDate

13-16 Aug. 2006

Firstpage

3609

Lastpage

3614

Abstract

Based on the multifractal theory, this paper presents an empirical research on the data of the closing prices of Shanghai stock price index from 1990 to 2005. Firstly, by transferring the time series into multifractal spectra plots, it confirms the existence of multifractal phenomenon in Shanghai stock market. Secondly, it analyzes statistically the correlations between the parameters of the multifractal spectra (the width of the multifractal spectrum and the difference of the fractal dimensions of the maximum and the minimum probability subsets) and the variation of the closing index, the logarithmic return and the gain probability. It indicates that the multifractal analysis can reveal insightful information about the market trend

Keywords

pricing; probability; statistical analysis; stock markets; time series; Shanghai stock price index; financial time series; gain probability; logarithmic return; multifractal spectrum; multifractal theory; statistical analysis; stock market; Cities and towns; Cotton; Cybernetics; Fractals; Gaussian distribution; Information analysis; Information retrieval; Machine learning; Probability distribution; Statistical analysis; Stock markets; Sun; Complexity; Gain probability; Multifractal spectrum;

fLanguage

English

Publisher

ieee

Conference_Titel

Machine Learning and Cybernetics, 2006 International Conference on

Conference_Location

Dalian, China

Print_ISBN

1-4244-0061-9

Type

conf

DOI

10.1109/ICMLC.2006.258580

Filename

4028697