A Multifractal Detrended Fluctuation Analysis (MDFA) of the Chinese Growth Enterprise Market (GEM)
Physics and Astronomy
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.
Physica A - Statistical Mechanics and its Applications
Pandey, R. B.
(2012). A Multifractal Detrended Fluctuation Analysis (MDFA) of the Chinese Growth Enterprise Market (GEM). Physica A - Statistical Mechanics and its Applications, 391(12), 3496-3502.
Available at: http://aquila.usm.edu/fac_pubs/12069