A multifractal approach for stock market inefficiency

作者：Zunino L^*; Tabak B M; Figliola A; Perez D G; Garavaglia M; Rosso O A

来源：Physica A: Statistical Mechanics and Its Applications , 2008, 387(26): 6558-6566.

DOI：10.1016/j.physa.2008.08.028

• Multifractal detrended fluctuation analysis
• Multifractality degree
• Stock market inefficiency

In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality, degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.

• 出版日期2008-11-15
• 单位上海生物信息技术研究中心