A multifractal detrended fluctuation analysis (MDFA) of the Chinese growth enterprise market (GEM)

Hui Wang, Luojie Xiang and R.B. Pandey

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 12, 3496-3502

Abstract: A multifractal, detrended fluctuation approach is used to analyze the growth enterprise market (GEM) in China involving a range of correlations in fluctuations of share prices (fat tail), persistent and anti-persistent states. Our analysis exhibits company-specific multifractal characteristics, which vary among the companies listed in the same industry, e.g., the power-law cross-correlations between computer and electronics sectors. These results may help reduce the risk in complex financial markets.

Keywords: Multifractal detrended fluctuation approach; Detrended cross-correlation analysis; Generalized Hurst index; Singularity exponent; Singularity spectrum (search for similar items in EconPapers)
Date: 2012
References: View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437112000970
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:12:p:3496-3502

DOI: 10.1016/j.physa.2012.01.053

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().