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Multifractal description of stock price index fluctuation using a quadratic function fitting

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  • Yuan, Ying
  • Zhuang, Xin-tian

Abstract

In order to obtain a quantitative multifractal characterization of the stock price index, the multifractal spectrum of Shanghai stock price index time series in 2005 was investigated and the multifractal spectrum was fitted using a quadratic function. A sliding window of 240 frequency data in 5 trading days was used to investigate the stock price index fluctuation. The multifractal parameters and coefficients in each window were obtained by fitting the local multifractal spectrum using a quadratic function. It is found that when the stock price index fluctuates sharply, a strong variability is clearly characterized by the multifractal parameters and the quadratic function coefficients. This has led to a better understanding of complex stock markets.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:387:y:2008:i:2:p:511-518
    DOI: 10.1016/j.physa.2007.09.015
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    Cited by:

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    4. Wei, Yu & Chen, Wang & Lin, Yu, 2013. "Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2163-2174.
    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.
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