Multifractal analysis of Chinese stock volatilities based on partition function approach

Zhi-Qiang Jiang and Wei-Xing Zhou
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Zhi-Qiang Jiang: ECUST

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Abstract: We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with respect to box size $s$. The scaling exponents $\tau(q)$ form a nonlinear function of $q$. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the $p$-model in turbulence with $p = 0.40 \pm 0.02$. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets.

Date: 2008-01, Revised 2008-02
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Citations: View citations in EconPapers (48)

Published in Physica A 387 (19), 4881-4888 (2008)

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