Multifractal detrended fluctuation analysis of the Chinese stock index futures market

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 6, 2013, Pages 1452-1458

  Lu, Xinsheng ^a   Tian, Jie ^b   Zhou, Ying ^c   Li, Zhihui ^d  

^a TONGJI UNIVERSITY   (China)

^b NORTHWEST A F UNIVERSITY   (China)

^c AUCKLAND UNIVERSITY OF TECHNOLOGY   (New Zealand)

^d UNIVERSITY OF JINAN   (China)

Author keywords

Generalized Hurst exponent; MF DFA; Multifractality; Stock index futures

Indexed keywords

COMMERCE; FINANCIAL MARKETS; PROBABILITY DISTRIBUTIONS; SPECTRUM ANALYSIS; TIME SERIES;

GENERALIZED HURST EXPONENT; LONG RANGE CORRELATIONS; MF-DFA; MULTI-FRACTAL SPECTRUM; MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS; MULTIFRACTALITY; RANDOMIZATION PROCEDURE; STOCK INDEX FUTURES;

FRACTALS;

EID: 84872321618     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.11.037     Document Type: Article

References (24)

1. B.B. Manderlbrot The Fractal Geometry of Nature 1982 Freeman WH New York
2. H.E. Hurst Long term storage capacity of reservoirs Transactions American Society of Civil Engineers 116 1951 770 808
3. C.K. Peng, S.V. Buldyrev, S. Havlin, M. Simon, H.E. Stanley, and A.L. Coldberger Mosaic organization of DNA nucleotides Physical Review 49 1994 1685 1689
4. J.W. Kantelhardt, S.A. Zschiegner, E. Koscielny-Bunde, S. Havlin, A. Bunde, and H.E. Stanley Multifractal detrended fluctuation analysis of nonstationary time series Physica A 316 2001 87 114
5. R. Gu, H. Chen, and Y. Wang Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis Physica A 389 2010 2805 2815
6. P. Norouzzadeh, and B. Rahmani A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate Physica A 367 2006 328 337
7. Y. Yuan, X.T. Zhuang, and X. Jin Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis Physica A 388 2009 2189 2197
8. Y. Wang, Y. Wei, and C. Wu Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis Physica A 390 2010 817 827
9. Z. Li, and X. Lu Multifractal analysis of China's agricultural commodity futures markets Energy Procedia 5 2011 1920 1926
10. B. Podobnik, and H.E. Stanley Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series Physical Review Letters 100 2008 084102
11. B. Podobnik, D. Horvatic, A.M. Petersen, and H.E. Stanley Cross-correlations between volume change and price change Proceedings of the National Academy of Sciences of the United States of America 106 2009 22079 22084
12. W.X. Zhou Multifractal detrended cross-correlation analysis for two nonstationary signals Physical Review E77 2008 066211
13. Z. Li, and X. Lu Cross-correlations between agricultural commodity futures markets in the US and China Physica A 391 2012 3930 3941
14. F.R. Edwards Does futures trading increase stock market volatility? Financial Analysts Journal 44 1988 63 69
15. R. Aggarwal Stock index futures and cash market volatility Review of Futures Markets 7 1988 290 299
16. L. Harris S&P 500 cash stock price volatilities Journal of Finance 44 1989 1155 1175
17. A. Hodgson, and D. Des Nicholls The impact of index futures markets on Australian sharemarket volatility Journal of Business, Finance and Accounting 18 1991 267 280
18. A. Antonious, and P. Holmes Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH Journal of Banking and Finance 19 1995 117 129
19. K.A. Froot, and A.F. Perold New trading practices and short run market efficiency Journal of Futures Markets 15 1995 731 735
20. P. Bologna, and L. Cavallo Does the introduction of stock index futures effectively reduce stock market volatility? Is the 'futures effect' immediate? Evidence from the Italian stock exchange using GARCH Applied Financial Economics 12 2002 183 192 (Pubitemid 34135087)
21. H. Xie, and J. Li Intraday volatility analysis on S&P 500 stock index future International Journal of Economics and Finance 2 2010 26 34
22. X. Wen, Y. Wei, and D. Huang Speculative market efficiency and hedging effectiveness of emerging Chinese index futures market Journal of Transnational Management 16 2011 252 269
23. J. Yang, Z. Yang, and Y. Zhou Intraday price discovery and volatility transmission in stock index and stock index futures markets: evidence from China Journal of Futures Markets 32 2012 99 121
24. D. Horvatic, H.E. Stanley, and B. Podobnik Detrended cross-correlation analysis for non-stationary time series with periodic trends Europhysics Letters 94 2011 18007