Multifractal analysis of Hang Seng index in Hong Kong stock market

Xia Sun, Huiping Chen, Ziqin Wu and Yongzhuang Yuan

Physica A: Statistical Mechanics and its Applications, 2001, vol. 291, issue 1, 553-562

Abstract: In this paper, the daily Hang Seng index in Hong Kong stock market is analyzed by multifractal. The correlation of the parameters of the multifractal spectra with the variation of close return Z is studied statistically. It is found that the amount of the variation of return is correlated with the amount of Δα of that day. The increase or decrease of the return is related to the positive or negative value of Δf. The gain probability and the increasing day's probability can be higher than 70% at the larger Δf region and be lower than 20% at the more negative region.

Keywords: Multifractal; Hong Kong index; Gain probability (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (49)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:291:y:2001:i:1:p:553-562

DOI: 10.1016/S0378-4371(00)00606-3

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