Multifractal analysis of Shanghai stock exchange composite index and Shenzhen stock exchange component index

  • Authors:

  • Qiang Tang

  • Affiliations:

  • College of Science, Wuhan University of Science and Engineering, Wuhan, China

  • Venue:
  • FSKD'09 Proceedings of the 6th international conference on Fuzzy systems and knowledge discovery - Volume 2
  • Year:
  • 2009

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Abstract

We have performed a detailed multifractal analysis on the Shanghai Stock Exchange Composite Index (SHSECI) and Shenzhen Stock Exchange Component Index (SZSECI). The partition function χq(Ɛ), generalized fractal dimensions Dq, singularity α and multifractal spectrum f(α) are calculated. It isfound that the partition function χq(Ɛ) scales as a power law with respect to the box size Ɛ and both series obey multifractal scaling, rather then being a simple monofractal. Furthermore, the Δf = f(αmin) - f (αmax) of both series is less than zero and the range of singularity a of SHSECI is narrower than that of SZSECI, which indicated that the ratio of number of highest index moments is less than that of lowest ones and the variation of SHSECI is smaller than that of SZSECI.