Multifractal analysis of Chinese stock volatilities based on partition function approach
| dc.creator | Jiang, Zhi-Qiang | |
| dc.creator | Zhou, Wei-Xing | |
| dc.date | 2008-01-11 | |
| dc.date | 2008-02-18 | |
| dc.date.accessioned | 2026-07-07T12:05:36Z | |
| dc.date.available | 2026-07-07T12:05:36Z | |
| dc.description | We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $χ_q(s)$ scales as a power law with respect to 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 $p = 0.40 \pm 0.02$. 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. | |
| dc.description | 14 elsart pages including 4 eps figures | |
| dc.identifier | https://arxiv.org/abs/0801.1710 | |
| dc.identifier | http://arxiv.org/abs/0801.1710 | |
| dc.identifier | Physica A 387 (19), 4881-4888 (2008) | |
| dc.identifier | doi:10.1016/j.physa.2008.04.028 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208420 | |
| dc.subject | Statistical Finance | |
| dc.subject | Physics and Society | |
| dc.title | Multifractal analysis of Chinese stock volatilities based on partition function approach | |
| dc.type | text |