Multifractality in stock indexes: Fact or fiction?

by: Zhi-Qiang Jiang, Wei-Xing Zhou

(14 Jun 2007)

View FullText article

arXiv (abstract), arXiv (PDF)

Reviews [Write a review of this article]

There are no reviews of this article

Find related articles from these CiteULike users

pdlug

Find related articles with these CiteULike tags

economics, finance, fractal, markets, stock

Abstract

Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent $τ(q)$ is linear and the singularity $α(q)$ is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.

@misc{citeulike:1392108, abstract = {Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S\&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent \$\tau(q)\$ is linear and the singularity \$\alpha(q)\$ is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion.}, author = {Jiang, Zhi-Qiang and Zhou, Wei-Xing }, citeulike-article-id = {1392108}, eprint = {0706.2140}, keywords = {economics, finance, fractal, markets, stock}, month = {Jun}, posted-at = {2007-06-15 15:56:50}, priority = {2}, title = {Multifractality in stock indexes: Fact or fiction?}, url = {http://arxiv.org/abs/0706.2140}, year = {2007} }

RIS record

TY - ELEC ID - citeulike:1392108 L3 - citeulike-article-id:1392108 TI - Multifractality in stock indexes: Fact or fiction? N2 - Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent $\tau(q)$ is linear and the singularity $\alpha(q)$ is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of the shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion. KW - economics KW - finance KW - fractal KW - markets KW - stock AU - Jiang, Zhi-Qiang AU - Zhou, Wei-Xing PY - 2007/Jun/14/ UR - http://arxiv.org/abs/0706.2140 ER -

RIS BibTeX