Enlightenment from various conditional probabilities about Hang Seng index in Hong Kong stock market

Huiping Chen, Xia Sun, Ziqin Wu and Binghong Wang

Physica A: Statistical Mechanics and its Applications, 2004, vol. 335, issue 1, 183-196

Abstract: The daily Hang Seng index in the Hong Kong stock market has been analyzed in this paper. Two kinds of sign sequences as given conditions have been used to predict the future price movements. One is the parameter of multifractal spectrum Δf based on the indexes recorded in every minute, and the other is the variation of the close index Δi. Results show that correlation between large fluctuations of the close price and the condition in these two methods is strong and some sign sequences of the parameter Δf can be used to predict the probability of the near future price movements.

Keywords: Statistics; Multifractal; Hang Seng index; Conditional probability (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:335:y:2004:i:1:p:183-196

DOI: 10.1016/j.physa.2003.12.004

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