A Multifractal Detrended Fluctuation Analysis (MDFA) of the Chinese Growth Enterprise Market (GEM)
Document Type
Article
Publication Date
1-1-2012
Department
Physics and Astronomy
School
Mathematics and Natural Sciences
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.
Publication Title
Physica A: Statistical Mechanics and its Applications - Statistical Mechanics and its Applications
Volume
391
Issue
12
First Page
3496
Last Page
3502
Recommended Citation
Wang, H.,
Xiang, L.,
Pandey, R. B.
(2012). A Multifractal Detrended Fluctuation Analysis (MDFA) of the Chinese Growth Enterprise Market (GEM). Physica A: Statistical Mechanics and its Applications - Statistical Mechanics and its Applications, 391(12), 3496-3502.
Available at: https://aquila.usm.edu/fac_pubs/12069