基于MF-DFA的中国股票市场多标度特性及成因分析

The Analysis of Multiscaling Characteristics and the Sources of Multiscaling of Stock Markets in China Using MF-DFA

运用MF-DFA方法,对中国沪深两市股指收益时间序列的研究发现,股票市场存在明显的多标度特征。进一步对其多标度成因进行分析,通过对不同收益时间序列的多标度强度进行比较,发现股票市场的多标度特征是由两个因素共同作用的,其中收益序列的波动相关性起主导作用,是形成多标度特征的主要原因。

Using MF-DFA, this paper presents an empirical research on the stock price index time series in Shanghai and Shenzhen stock markets. It is found that the financial time series showed pronounced multisealing characteristics. Furthermore, this paper analyzes the sources of muhiscaling. It is found that there were two different types of sources for muhiscaling in time series, namely, fat-tailed probability distributions and nonlinear temporal correlations. Most muhiscaling of the data is due to different long-range correlations for small and large fluctuations.