Arbeitspapier
Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market
Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2,942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insufficient to describe the futures price fluctuations. Further, by comparing the original time series with the transformed time series through shuffling procedure and phase randomization procedure, we show that there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also contribute to such multifractal behavior.
- Sprache
-
Englisch
- Erschienen in
-
Series: Economics Working Paper Series ; No. 2012/08
- Klassifikation
-
Wirtschaft
- Thema
-
Multifractality
Stock index futures
MF-DFA
Generalized Hurst exponent
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lu, Xinsheng
Tian, Jie
Zhou, Ying
Li, Zhihui
- Ereignis
-
Veröffentlichung
- (wer)
-
Auckland University of Technology (AUT), Faculty of Business, Economics and Law
- (wo)
-
Auckland
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lu, Xinsheng
- Tian, Jie
- Zhou, Ying
- Li, Zhihui
- Auckland University of Technology (AUT), Faculty of Business, Economics and Law
Entstanden
- 2012
Ähnliche Objekte (12)
Die alternative Streitbeilegung : eine vergleichende Untersuchung zwischen deutschem und chinesischem Recht
A meta-analysis of the relationship between body mass index and risk of rheumatoid arthritis
Adaptive image enhancement algorithm based on the model of surface roughness detection system
Troponin Mutation Caused Diastolic Dysfunction and Experimental Treatment in Transgenic Mice with Cardiomyopathy
Postreconstruction filtering of 3D PET images by using weighted higher-order singular value decomposition
Recent methodology advances in fluorescence molecular tomography
An in situ observation dataset of soil hydraulic properties and soil moisture in a high and cold mountainous area on the northeastern Qinghai-Tibet Plateau
Crystal structure of tricyclohexyl (4-(4 H -1,2,4-triazol-4-yl)-benzoato- κO) tin (IV), C 27 H 39 N 3 O 2 Sn
Do Business Groups Help or Hinder Technological Progress in Emerging Markets? Evidence from India
Factors influencing the spatial extent of mobile source air pollution impacts: a meta-analysis
Internet-based self-help intervention for procrastination: randomized control group trial protocol
Between-airport heterogeneity in air toxics emissions associated with individual cancer risk thresholds and population risks
Die alternative Streitbeilegung : eine vergleichende Untersuchung zwischen deutschem und chinesischem Recht
A meta-analysis of the relationship between body mass index and risk of rheumatoid arthritis
Adaptive image enhancement algorithm based on the model of surface roughness detection system
Troponin Mutation Caused Diastolic Dysfunction and Experimental Treatment in Transgenic Mice with Cardiomyopathy
Postreconstruction filtering of 3D PET images by using weighted higher-order singular value decomposition
Recent methodology advances in fluorescence molecular tomography
An in situ observation dataset of soil hydraulic properties and soil moisture in a high and cold mountainous area on the northeastern Qinghai-Tibet Plateau
Crystal structure of tricyclohexyl (4-(4 H -1,2,4-triazol-4-yl)-benzoato- κO) tin (IV), C 27 H 39 N 3 O 2 Sn
Do Business Groups Help or Hinder Technological Progress in Emerging Markets? Evidence from India
Factors influencing the spatial extent of mobile source air pollution impacts: a meta-analysis
Internet-based self-help intervention for procrastination: randomized control group trial protocol
Between-airport heterogeneity in air toxics emissions associated with individual cancer risk thresholds and population risks
Die alternative Streitbeilegung : eine vergleichende Untersuchung zwischen deutschem und chinesischem Recht
A meta-analysis of the relationship between body mass index and risk of rheumatoid arthritis
Adaptive image enhancement algorithm based on the model of surface roughness detection system
Troponin Mutation Caused Diastolic Dysfunction and Experimental Treatment in Transgenic Mice with Cardiomyopathy
Postreconstruction filtering of 3D PET images by using weighted higher-order singular value decomposition
Recent methodology advances in fluorescence molecular tomography
An in situ observation dataset of soil hydraulic properties and soil moisture in a high and cold mountainous area on the northeastern Qinghai-Tibet Plateau
Crystal structure of tricyclohexyl (4-(4 H -1,2,4-triazol-4-yl)-benzoato- κO) tin (IV), C 27 H 39 N 3 O 2 Sn
Do Business Groups Help or Hinder Technological Progress in Emerging Markets? Evidence from India
Factors influencing the spatial extent of mobile source air pollution impacts: a meta-analysis
Internet-based self-help intervention for procrastination: randomized control group trial protocol