Multifractal analysis on the return series of stock markets using MF-DFA method

Wang，Wanting1,2; Liu，Kecheng1,2; Qin，Zheng2,3

10.1007/978-3-642-55355-4_11

2014

1868-4238

1868-422X

IFIP Advances in Information and Communication Technology

426

107-115

Analyzing the daily returns of NASDAQ Composite Index by using MF-DFA method has led to findings that the return series does not fit the normal distribution and its leptokurtic indicates that a single-scale index is insufficient to describe the stock price fluctuation. Furthermore, it is found that the long-term memory characteristics are a main source of multifractality in time series. Based on the main reason causing multifractality, a contrast of the original return series and the reordered return series is made to demonstrate the stock price index fluctuation, suggesting that the both return series have multifractality. In addition, the empirical results verify the validity of the measures which illustrates that the stock market fails to reach the weak form efficiency.

Generalized Hurst Exponent MF-DFA Multifractal Stock market fluctuations Time series

Others

English

2-s2.0-84927765562

Scopus

1.Henley Business School,University of Reading,Reading,RG6 6UD,United Kingdom
2.School of Information Management and Engineering,Shanghai University of Finance and Economics,Shanghai,777 Guoding Rd,200433,China
3.South University of Science and Technology of China,Shenzhen,1028 Xueyuan Ave,518055,China

Wang，Wanting,Liu，Kecheng,Qin，Zheng. Multifractal analysis on the return series of stock markets using MF-DFA method[C],2014:107-115.