Hilbert–Huang Transform based multifractal analysis of China stock market

Hilbert–Huang Transform based multifractal analysis of China stock market

In this paper, we employ the Hilbert-Huang Transform to investigate the multifractal character of Chinese stock market based on CSI 300 index. The measured Hilbert moment L sub(q)( omega )Lq( omega ) shows a power-law behavior on the range 0.01< omega

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Veröffentlicht in:Physica A 2014-07, Vol.406, p.222-229
Hauptverfasser: Li, Muyi, Huang, Yongxiang
Format: Artikel
Sprache:eng
Schlagworte:
Equivalence
Fluctuation
Fractal analysis
Intermittency
Markets
Mathematical models
Raw materials
Transforms
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Zusammenfassung:In this paper, we employ the Hilbert-Huang Transform to investigate the multifractal character of Chinese stock market based on CSI 300 index. The measured Hilbert moment L sub(q)( omega )Lq( omega ) shows a power-law behavior on the range 0.01< omega
ISSN:0378-4371
DOI:10.1016/j.physa.2014.03.047