Dual Fractal Dimension And Long-Range Correlation Of Chinese Stock Prices
JOURNAL OF THE PHYSICAL SOCIETY OF JAPAN(2012)
摘要
The recently developed modified inverse random midpoint displacement (mIRMD) and conventional detrended fluctuation analysis (DFA) algorithms are used to analyze the tick-by-tick high-frequency time series of Chinese A-share stock prices and indexes. A dual-fractal structure with a crossover at about 10 min is observed. The majority of the selected time series show visible persistence within this time threshold, but approach a random walk on a longer time scale. The phenomenon is found to be industry-dependent, i.e., the crossover is much more prominent for stocks belonging to cyclical industries than for those belonging to noncyclical (defensive) industries. We have also shown that the sign series show a similar dual-fractal structure, while like generally found, the magnitude series show a much longer time persistence.
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关键词
fractal dimension, long-range correlation, financial markets, Brownian motion, Levy stable regime, detrended fluctuation analysis, modified inverse random midpoint displacement algorithm
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