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Multifractal analysis of Chinese stock volatilities based on partition function approach

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  1. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
  2. Li, Muyi & Huang, Yongxiang, 2014. "Hilbert–Huang Transform based multifractal analysis of China stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 222-229.
  3. Li, Jiang-Cheng & Tang, Nian-Sheng & Mei, Dong-Cheng & Li, Yun-Xian & Zhang, Wan, 2016. "The trading time risks of stock investment in stock price drop," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 778-787.
  4. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  5. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
  6. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6470-6483.
  7. Rami Ahmad El-Nabulsi & Waranont Anukool, 2025. "Qualitative financial modelling in fractal dimensions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-47, December.
  8. Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
  9. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
  10. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
  11. Barunik, Jozef & Aste, Tomaso & Di Matteo, T. & Liu, Ruipeng, 2012. "Understanding the source of multifractality in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(17), pages 4234-4251.
  12. Yufang Liu & Weiguo Zhang & Junhui Fu & Xiang Wu, 2020. "Multifractal Analysis of Realized Volatilities in Chinese Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 319-336, August.
  13. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
  14. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
  15. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  16. Jia, Zhanliang & Cui, Meilan & Li, Handong, 2012. "Research on the relationship between the multifractality and long memory of realized volatility in the SSECI," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 740-749.
  17. Gao, Xing-Lu & Shao, Ying-Hui & Yang, Yan-Hong & Zhou, Wei-Xing, 2022. "Do the global grain spot markets exhibit multifractal nature?," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
  18. Liu, Zhicao & Ye, Yong & Ma, Feng & Liu, Jing, 2017. "Can economic policy uncertainty help to forecast the volatility: A multifractal perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 181-188.
  19. Bhardwaj, Shivam & Chandrasekhar, E. & Seemala, Gopi K. & Gadre, Vikram M., 2020. "Characterization of ionospheric total electron content data using wavelet-based multifractal formalism," Chaos, Solitons & Fractals, Elsevier, vol. 134(C).
  20. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  21. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(16), pages 3218-3229.
  22. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
  23. Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
  24. Chen, Yuwen & Zheng, Tingting, 2017. "Asymmetric joint multifractal analysis in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 10-19.
  25. Ruan, Qingsong & Yang, Bingchan & Ma, Guofeng, 2017. "Detrended cross-correlation analysis on RMB exchange rate and Hang Seng China Enterprises Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 91-108.
  26. Ruan, Qingsong & Yang, Bingchan, 2017. "The effects of common risk factors on stock returns: A detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 362-374.
  27. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Yin-Jie Ma & Zhi-Qiang Jiang & Wei-Xing Zhou, 2025. "Multifractal characteristics and return predictability in the Chinese stock markets," Annals of Operations Research, Springer, vol. 352(3), pages 415-440, September.
  28. Long, Yu, 2013. "Visibility graph network analysis of gold price time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3374-3384.
  29. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2009. "Detrended fluctuation analysis of intertrade durations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 433-440.
  30. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
  31. Li, Jianfeng & Lu, Xinsheng & Jiang, Wei & Petrova, Vanya S., 2021. "Multifractal Cross-correlations between foreign exchange rates and interest rate spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  32. Siokis, Fotios M., 2013. "Multifractal analysis of stock exchange crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1164-1171.
  33. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009. "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 271-276, December.
  34. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
  35. 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.
  36. Li Wang & Xing-Lu Gao & Wei-Xing Zhou, 2023. "Testing For Intrinsic Multifractality In The Global Grain Spot Market Indices: A Multifractal Detrended Fluctuation Analysis," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 31(07), pages 1-24.
  37. Yuan, Ying & Zhang, Tonghui, 2020. "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
  38. 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.
  39. Stosic, Dusan & Stosic, Darko & Stosic, Tatijana, 2019. "Nonextensive triplets in stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 192-198.
  40. Hasan, Rashid & Mohammad, Salim M., 2015. "Multifractal analysis of Asian markets during 2007–2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 746-761.
  41. Dusan Stosic & Darko Stosic & Tatijana Stosic, 2019. "Nonextensive triplets in stock market indices," Papers 1901.07721, arXiv.org.
  42. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  43. Ruan, Qingsong & Yang, Bingchan & Ma, Guofeng, 2018. "The impact of executive anticipated regret on the choice of incentive system: An econophysics perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1006-1015.
  44. Grahovac, Danijel & Leonenko, Nikolai N., 2014. "Detecting multifractal stochastic processes under heavy-tailed effects," Chaos, Solitons & Fractals, Elsevier, vol. 65(C), pages 78-89.
  45. Wang, Yi & Sun, Qi & Zhang, Zilu & Chen, Liqing, 2022. "A risk measure of the stock market that is based on multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
  46. R. P. Datta, 2023. "Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach," Papers 2306.16162, arXiv.org.
  47. Meng, Xiangyi & Zhang, Jian-Wei & Guo, Hong, 2016. "Quantum Brownian motion model for the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 452(C), pages 281-288.
  48. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
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