A multifractal detrended fluctuation analysis (MDFA) of the Chinese growth enterprise market (GEM)

Ras B. Pandey, University of Southern Mississippi

Abstract

A multifractal, detrended fluctuation approach is used to analyze the growth enterprise market (GEM) in China involving a range of correlations in fluctuations of share prices (fat tail), persistent and anti-persistent states. Our analysis exhibits company-specific multifractal characteristics, which vary among the companies listed in the same industry, e.g., the power-law cross-correlations between computer and electronics sectors. These results may help reduce the risk in complex financial markets. (C) 2012 Elsevier B.V. All rights reserved.