Published in

Elsevier, Physica A: Statistical Mechanics and its Applications, 19-20(387), p. 4881-4888, 2008

DOI: 10.1016/j.physa.2008.04.028

Links

Tools

Export citation

Search in Google Scholar

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

Journal article published in 2008 by Zhi-Qiang Jiang, Wei-Xing Zhou ORCID
This paper is available in a repository.
This paper is available in a repository.

Full text: Download

Green circle
Preprint: archiving allowed
Upload
Orange circle
Postprint: archiving restricted
Upload
Red circle
Published version: archiving forbidden
Policy details
Data provided by SHERPA/RoMEO

Abstract

We have performed a detailed multifractal analysis on the 1-min volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function χq(s) scales as a power law with respect to the box size s. The scaling exponents τ(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±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.