股票收益率序列的多重分形特征分析

Multifractal Analysis of Stock Returns

运用多重分形消除趋势波动分析法,研究中石油和中石化两个上市公司股票收益率的多重分形特征,并结合多重分形谱方法,比较两股票收益率序列的多重分形性的强弱及风险大小.结果表明,两个公司的股票收益率序列均具有明显的多重分形特征,且中石化收益率序列的多重分形性更强,波动复杂程度更高.总体相比,买入中石化股票获利的空间更大,但风险也较买入中石油的更高.

Using the multifractal detrended fluctuation analysis method,this paper aims to study the multifractal characteristics of Petro China and Sinopec listed Corporation stock returns.With the help of the multifractal spectrum method,it compared the strength and the size of the risk multifractal of two stock returns series. The results show that the stock return series of two companies have obvious multifractal characteristic.The Sinopec return series of multifractal is stronger,and fluctuation complexity is higher.In general,Sinopec shares have more ptofit space,but the risk is also greater than Petro China.