Multifractality of stock markets based on cumulative distribution function and multiscale multifractal analysis

Aijing Lin and Pengjian Shang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 447, issue C, 527-534

Abstract: Considering the diverse application of multifractal techniques in natural scientific disciplines, this work underscores the versatility of multiscale multifractal detrended fluctuation analysis (MMA) method to investigate artificial and real-world data sets. The modified MMA method based on cumulative distribution function is proposed with the objective of quantifying the scaling exponent and multifractality of nonstationary time series. It is demonstrated that our approach can provide a more stable and faithful description of multifractal properties in comprehensive range rather than fixing the window length and slide length. Our analyzes based on CDF-MMA method reveal significant differences in the multifractal characteristics in the temporal dynamics between US and Chinese stock markets, suggesting that these two stock markets might be regulated by very different mechanism. The CDF-MMA method is important for evidencing the stable and fine structure of multiscale and multifractal scaling behaviors and can be useful to deepen and broaden our understanding of scaling exponents and multifractal characteristics.

Keywords: CDF; Multiscale; MF-DFA; MMA; Stock market (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:447:y:2016:i:c:p:527-534

DOI: 10.1016/j.physa.2015.12.012

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