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

Zhi-Qiang Jiang and Wei-Xing Zhou

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 19, 4881-4888

Abstract: 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 χq(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.

Keywords: Econophysics; Multifractal analysis; Partition function approach; Quenched average; Annealed average; Bootstrapping; Stock markets (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (47)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:19:p:4881-4888

DOI: 10.1016/j.physa.2008.04.028

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