|Table of Contents|

Researches on Scaling Properties of Chinese Stock Markets With DFA(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2007年03期
Page:
48-53
Research Field:
物理学
Publishing date:

Info

Title:
Researches on Scaling Properties of Chinese Stock Markets With DFA
Author(s):
Du Guoxiong1; 2; Ning Xuanxi1; Hu Yongsheng3
1.School of Economics and Management,Nanjing University of Aeronautics and Astronautics,Nanjing 210016,China
2. N an jing Inst itute of Industry and Techno logy, Nan jing 210016, Ch ina
3. School ofE lectron ic E ngineering and Optoelectron ic Techn ology, Nan jing Un iversity of Science and T echnology, Nan jing 210094, Ch ina
Keywords:
econophysics;  stock marke t;  scaling prope rty;  pe rs istence;  scaling exponent;  DFA m ethod
PACS:
F832.51
DOI:
-
Abstract:
By app ly ing the de trended fluctua tion ana lysis( DFA) , the loga rithm ic return series o f Ch inese stock m arke ts w as stud ied and the ir sca ling properties w ere ana ly zed. It is found ou t that the sca ling expo nen ts changew ith the per iod and there is pe rs istence. The sca ling exponents don’ t vary obv iouslyw ith the sca ling, so the sca le- invar iance ex ists. The short sca ling tim e series have mu ltifractal proper ties. These resu lts illustrate tha t the Chinese stock m arkets are the com plicated non- linear dynam ic system s.

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Last Update: 2013-05-05