Evidence of multi-affinity in the Japanese stock market

Hiroaki Katsuragi

Physica A: Statistical Mechanics and its Applications, 2000, vol. 278, issue 1, 275-281

Abstract: Fluctuations of the Japanese stock market (Tokyo Stock Price Index: TOPIX) are analyzed using a multi-affine analysis method. In the research to date, only some simulated self-affine models have shown multi-affinity. In most experiments using observations of self-affine fractal profiles, multi-affinity has not been found. However, we find evidence of multi-affinity in fluctuations of the Japanese stock market (TOPIX). The qth-order Hurst exponent Hq varies with changes in q. This multi-affinity indicates that there are plural mechanisms that affect the same time scale as stock market price fluctuation dynamics.

Keywords: Stock index; Fluctuations; Multi-affinity (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:278:y:2000:i:1:p:275-281

DOI: 10.1016/S0378-4371(00)00004-2

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