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

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 χ q ( s ) scales as a power law with respect to the box size s . The scaling exponents τ ( q ) form...

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Bibliographic Details
Published inPhysica A Vol. 387; no. 19; pp. 4881 - 4888
Main Authors Jiang, Zhi-Qiang, Zhou, Wei-Xing
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.08.2008
Subjects
Annealed average
Bootstrapping
Econophysics
Multifractal analysis
Partition function approach
Quenched average
Stock markets
Econophysics
Bootstrapping
Quenched average
Partition function approach
Annealed average
Multifractal analysis
Stock markets
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Summary: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 χ q ( 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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2008.04.028