Hilbert–Huang Transform based multifractal analysis of China stock market

Muyi Li and Yongxiang Huang

Physica A: Statistical Mechanics and its Applications, 2014, vol. 406, issue C, 222-229

Abstract: In this paper, we employ the Hilbert–Huang Transform to investigate the multifractal character of Chinese stock market based on CSI 300 index. The measured Hilbert moment Lq(ω) shows a power-law behavior on the range 0.01<ω<0.1min−1, equivalent to a time scale range 10<τ<100min. The measured scaling exponents ζ(q) is convex with q and deviates from the value q/2, implying that the property of self-similarity is broken. Moreover, ζ(q) and the corresponding singularity spectrum D(h) can be described by a lognormal model with a Hurst number H=0.50 and an intermittency parameter μ=0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter.

Keywords: Multifractal analysis; Empirical mode decomposition (EMD); Hilbert spectral analysis; Chinese stock fluctuation (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:406:y:2014:i:c:p:222-229

DOI: 10.1016/j.physa.2014.03.047

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