The scaling properties of stock markets based on modified multiscale multifractal detrended fluctuation analysis

Aijing Lin, Hui Ma and Pengjian Shang

Physica A: Statistical Mechanics and its Applications, 2015, vol. 436, issue C, 525-537

Abstract: Here we propose the new method DH-MMA, based on multiscale multifractal detrended fluctuation analysis(MMA), to investigate the scaling properties in stock markets. It is demonstrated that our approach can provide a more stable and faithful description of the scaling properties in comprehensive range rather than fixing the window length and slide length. It allows the assessment of more universal and subtle scaling characteristics. We illustrate DH-MMA by selecting power-law artificial data sets and six stock markets from US and China. The US stocks exhibit very strong multifractality for positive values of q, however, the Chinese stocks show stronger multifractality for negative q than positive q. In general, the US stock markets show similar behaviors, but Chinese stock markets display distinguishing characteristics.

Keywords: Scaling; Multiscale; MF-DFA; MMA; Stock market; Histogram (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:436:y:2015:i:c:p:525-537

DOI: 10.1016/j.physa.2015.05.041

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