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

作者：Jiang Zhi Qiang; Zhou Wei Xing^*

来源：Physica A: Statistical Mechanics and Its Applications , 2008, 387(19-20): 4881-4888.

DOI：10.1016/j.physa.2008.04.028

• econophysics
• multifractal analysis
• partition function approach
• quenched average
• annealed average
• bootstrapping
• stock markets

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 chi(q)(S) scales as a power law with respect to the box size s. The scaling exponents tau(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.

• 出版日期2008-8
• 单位华东理工大学