Empirical Research on Multifractals of Returns in Shanghai Stock Market:A New MFDFA Method
A new MFDFA (multifractal detrended fluctuation analysis) method was introduced.Using this method and its transformation based on sliding windows,we validated the characteristic of returns of Shanghai Stock Exchange comprehensive index.As results showed,on the one hand,the new method is valid; on the other hand,Shanghai stock market exhibits multifractal structure,and contrasted to the antipersistence of their big fluctuations,their small fluctuations exhibit long-range correlation.
NETL
NSTL
万方数据
维普
