Dual fractal dimension and long-range correlation of Chinese stock prices

Journal of the Physical Society of Japan

Volumn 81, Issue 3, 2012, Pages

  Chen, Chaoshi ^a,b   Wang, Lei ^a  

^a RENMIN UNIVERSITY OF CHINA   (China)

^b Kingfortune Asset Management Co Ltd   (China)

Author keywords

Brownian motion; Detrended fluctuation analysis; Financial markets; Fractal dimension; Levy stable regime; Long range correlation; Modified inverse random midpoint displacement algorithm

Indexed keywords

EID: 84863249723     PISSN: 00319015     EISSN: 13474073     Source Type: Journal    
DOI: 10.1143/JPSJ.81.034801     Document Type: Article

References (41)

1. L. J. Bachelier: Ann. Sci. Ecole Normale Super. 3 (1900) 21.
2. R. N. Mantegna and H. E. Stanley: An Introduction to Econophysics: Correlations and Complexity in Finance (Cambridge University Press, Cambridge, U. K., 2000).
3. Y. Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C. K. Peng, and H. E. Stanley: Phys. Rev. E 60 (1999) 1390.
4. V. Plerou, P. Gopikrishnan, B. Rosenow, L. Amaral, and H. E. Stanley: Physica A 279 (2000) 443.
5. P. Gopikrishnan, V. Plerou, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley: Phys. Rev. E 60 (1999) 5305.
6. V. Plerou, P. Gopikrishnan, L. A. Nunes Amaral, M. Meyer, and H. E. Stanley: Phys. Rev. E 60 (1999) 6519.
7. P. Gopikrishnan, M. Meyer, L. Amaral, and H. E. Stanley: Eur. Phys. J. B 3 (1998) 139.
8. H. Stanley, L. Amaral, D. Canning, P. Gopikrishnan, Y. Lee, and Y. Liu: Physica A 269 (1999) 156.
9. L. Amaral, V. Plerou, P. Gopikrishnan, M. Meyer, and H. E. Stanley: Int. J. Theor. Appl. Financ. 3 (2000) 365.
10. H. Stanley, V. Plerou, and X. Gabaix: Physica A 387 (2008) 3967.
11. B. Mandelbrot: J. Bus. 36 (1963) 394.
12. K. Matia, Y. Ashkenazy, and H. E. Stanley: Europhys. Lett. 61 (2003) 422.
13. A. Serletis, O. Uritskaya, and V. Uritsky: Int. J. Bifurcat. Chaos 18 (2008) 599.
14. Y. Liu, P. Cizeau, M. Meyer, C. Peng, and H. E. Stanley: Physica A 245 (1997) 437.
15. A. Gorski, S. Drozdz, and J. Speth: Physica A 316 (2002) 496.
16. P. Norouzzadeh and G. Jafari: Physica A 356 (2005) 609.
17. G. Oh, S. Kim, and C. Eom: Physica A 387 (2008) 1247.
18. S. Kumar and N. Deo: Physica A 388 (2009) 1593.
19. T. Qiu, B. Zheng, F. Ren, and S. Trimper: Physica A 378 (2007) 387.
20. M. Bai and H. Zhu: Physica A 389 (2010) 1883.
21. G. H. Mu and W. X. Zhou: Phys. Rev. E 82 (2010) 066103.
22. G. Gu and W. Zhou: Physica A 383 (2007) 497.
23. G. Du and X. Ning: Physica A 387 (2008) 261.
24. J. Jiang, W. Li, X. Cai, and Q. A. Wang: Physica A 388 (2009) 1893.
25. G. F. Gu and W. X. Zhou: Phys. Rev. E 82 (2010) 011136.
26. X. T. Zhuang, X. Y. Huang, and Y. L. Sha: Physica A 333 (2004) 293.
27. E. Fama: J. Bus. 38 (1965) 34;
28. E. Fama: J. Financ. 25 (1970) 383.
29. F. Wang, S. J. Shieh, S. Havlin, and H. E. Stanley: Phys. Rev. E 79 (2009) 056109.
30. B. M. Hill: Ann. Stat. 3 (1975) 1163.
31. C. Yan, J. W. Zhang, Y. Zhang, and Y. N. Tang: Physica A 353 (2005) 425.
32. K. Matia, M. Pal, H. Salunkay, and H. E. Stanley: Europhys. Lett. 66 (2004) 909.
33. S. Liaw and F. Chiu: Physica A 388 (2009) 3100.
34. S. Liaw, F. Chiu, C. Wang, and Y. Shiau: Chin. J. Phys. 48 (2010) 814.
35. C. K. Peng, S. V. Buldyrev, S. Havlin, M. Simons, H. E. Stanley, and A. L. Goldberger: Phys. Rev. E 49 (1994) 1685.
36. K. Hu, P. C. Ivanov, Z. Chen, P. Carpena, and H. E. Stanley: Phys. Rev. E 64 (2001) 011114.
37. Z. Chen, P. C. Ivanov, K. Hu, and H. E. Stanley: Phys. Rev. E 65 (2002) 041107.
38. L. Tan, T. Chiang, J. Mason, and E. Nelling: Pac.-Basin Financ. J. 16 (2008) 61.
39. Z. Bodie, A. Kane, and A. J. Marcus: Investments (McGraw-Hill/Irwin, New York, 2009) 8th ed., Chap. 17.
40. Y. Ashkenazy, P. C. Ivanov, S. Havlin, C. K. Peng, A. L. Goldberger, and H. E. Stanley: Phys. Rev. Lett. 86 (2001) 1900.
41. Y. Ashkenazy, S. Havlin, P. Ivanov, C. Peng, V. Schultefrohlinde, and H. E. Stanley: Physica A 323 (2003) 19.