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Enlightenment from various conditional probabilities about Hang Seng index in Hong Kong stock market

Author

Listed:
  • Chen, Huiping
  • Sun, Xia
  • Wu, Ziqin
  • Wang, Binghong

Abstract

The daily Hang Seng index in the Hong Kong stock market has been analyzed in this paper. Two kinds of sign sequences as given conditions have been used to predict the future price movements. One is the parameter of multifractal spectrum Δf based on the indexes recorded in every minute, and the other is the variation of the close index Δi. Results show that correlation between large fluctuations of the close price and the condition in these two methods is strong and some sign sequences of the parameter Δf can be used to predict the probability of the near future price movements.

Suggested Citation

  • Chen, Huiping & Sun, Xia & Wu, Ziqin & Wang, Binghong, 2004. "Enlightenment from various conditional probabilities about Hang Seng index in Hong Kong stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 335(1), pages 183-196.
    • Handle: RePEc:eee:phsmap:v:335:y:2004:i:1:p:183-196
    DOI: 10.1016/j.physa.2003.12.004
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    Citations

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    Cited by:

    1. Yuan, Ying & Zhuang, Xin-tian, 2008. "Multifractal description of stock price index fluctuation using a quadratic function fitting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 511-518.
    2. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying & Huang, Wei-qiang, 2012. "Time-clustering behavior of sharp fluctuation sequences in Chinese stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(6), pages 838-845.
    3. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu, 2009. "Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2189-2197.
    4. Chen, Hongtao & Wu, Chongfeng, 2011. "Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(16), pages 2926-2935.
    5. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
    6. Zheng, Shiyuan & Lan, Xiangang, 2016. "Multifractal analysis of spot rates in tanker markets and their comparisons with crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 547-559.

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