Multifractal analysis of Chinese stock volatilities based on partition function approach

Details Multifractal analysis of Chinese stock volatilities based on partition function approach Multifractal analysis of Chinese stock volatilities based on partition function approach

2008-01-11

arxiv.org/abs/0801.1710v2

Physica A 387 (19), 4881-4888 (2008)

Economy

Quantitative Finance

Statistical Finance

14 elsart pages including 4 eps figures

Scientific paper

10.1016/j.physa.2008.04.028

We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with respect to box size $s$. The scaling exponents $\tau(q)$ form a nonlinear function of $q$. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the $p$-model in turbulence with $p = 0.40 \pm 0.02$. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets.

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