Multifractality of stock markets based on cumulative distribution function and multiscale multifractal analysis
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- 作者：Aijing Lin ; ajlin@bjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author ; Pengjian Shang
- 关键词：CDF ; Multiscale ; MF-DFA ; MMA ; Stock market
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2016
- 出版时间：1 April 2016
- 年：2016
- 卷：447
- 期：Complete
- 页码：527-534
- 全文大小：1202 K
文摘
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We analyze Chinese and US stock markets during the period of 1992 to 2012.
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The cumulative distribution function of modified Hurst surface is calculated.
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Stable structures of multifractal scaling are found by performing CDF-MMA technique.