Predictability of multifractal analysis of Hang Seng stock index in Hong Kong

Xia Sun, Huiping Chen, Yongzhuang Yuan and Ziqin Wu

Physica A: Statistical Mechanics and its Applications, 2001, vol. 301, issue 1, 473-482

Abstract: In this paper, the daily Hang Seng index in Hong Kong stock market is studied by multifractal analysis. The main parameter of multifractal spectra used is Δf, which can be used to characterize the ratio of number of highest index moments to that of lowest ones. The dependence of today's gain probability (G%) and the day's index increase probability (n%) with Δf of the previous 3 days are studied. It is found that G% and n% can reach 70–80% at the large positive Δf region and can be very close to 20% at the big negative Δf region. The predictability decreases with the increasing number of the previous days.

Keywords: Predictability; Multifractal; Hong Kong index (search for similar items in EconPapers)
Date: 2001
References: View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437101004332
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:301:y:2001:i:1:p:473-482

DOI: 10.1016/S0378-4371(01)00433-2

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 ().