A multifractal detrended fluctuation analysis (MDFA) of the Chinese growth enterprise market (GEM) |
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| Authors: | Hui Wang Luojie Xiang RB Pandey |
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| Institution: | 1. School of Management and Economics, UESTC, China;2. School of Physics and Electronics, UESTC, 610054, China;3. School of Computer Science, UESTC, 611054, China;4. Department of Physics and Astronomy, University of Southern Mississippi, Hattiesburg, MS 39406-0001, USA |
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| Abstract: | A multifractal, detrended fluctuation approach is used to analyze the growth enterprise market (GEM) in China involving a range of correlations in fluctuations of share prices (fat tail), persistent and anti-persistent states. Our analysis exhibits company-specific multifractal characteristics, which vary among the companies listed in the same industry, e.g., the power-law cross-correlations between computer and electronics sectors. These results may help reduce the risk in complex financial markets. |
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| Keywords: | Multifractal detrended fluctuation approach Detrended cross-correlation analysis Generalized Hurst index Singularity exponent Singularity spectrum |
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