Multifractal Analysis on the Return Series of Stock Markets Using MF-DFA Method

Abstract : Analyzing the daily returns of NASDAQ Composite Index by using MF-DFA method has led to findings that the return series does not fit the normal distribution and its leptokurtic indicates that a single-scale index is insufficient to describe the stock price fluctuation. Furthermore, it is found that the long-term memory characteristics are a main source of multifractality in time series. Based on the main reason causing multifractality, a contrast of the original return series and the reordered return series is made to demonstrate the stock price index fluctuation, suggesting that the both return series have multifractality. In addition, the empirical results verify the validity of the measures which illustrates that the stock market fails to reach the weak form efficiency.
Type de document :
Communication dans un congrès
Kecheng Liu; Stephen R. Gulliver; Weizi Li; Changrui Yu. 15th International Conference on Informatics and Semiotics in Organisations (ICISO), May 2014, Shanghai, China. Springer, IFIP Advances in Information and Communication Technology, AICT-426, pp.107-115, 2014, Service Science and Knowledge Innovation. 〈10.1007/978-3-642-55355-4_11〉
Liste complète des métadonnées

Littérature citée [12 références]  Voir  Masquer  Télécharger

https://hal.inria.fr/hal-01350915
Contributeur : Hal Ifip <>
Soumis le : mardi 2 août 2016 - 11:23:49
Dernière modification le : mercredi 3 août 2016 - 01:03:49
Document(s) archivé(s) le : jeudi 3 novembre 2016 - 18:14:49

Fichier

978-3-642-55355-4_11_Chapter.p...
Fichiers produits par l'(les) auteur(s)

Licence


Distributed under a Creative Commons Paternité 4.0 International License

Identifiants

Citation

Wanting Wang, Kecheng Liu, Zheng Qin. Multifractal Analysis on the Return Series of Stock Markets Using MF-DFA Method. Kecheng Liu; Stephen R. Gulliver; Weizi Li; Changrui Yu. 15th International Conference on Informatics and Semiotics in Organisations (ICISO), May 2014, Shanghai, China. Springer, IFIP Advances in Information and Communication Technology, AICT-426, pp.107-115, 2014, Service Science and Knowledge Innovation. 〈10.1007/978-3-642-55355-4_11〉. 〈hal-01350915〉

Partager

Métriques

Consultations de la notice

85

Téléchargements de fichiers

30