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
Gespeichert in:
| Veröffentlicht in: | Physica A 2014-07, Vol.406, p.222-229 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 229 |
|---|---|
| container_issue | |
| container_start_page | 222 |
| container_title | Physica A |
| container_volume | 406 |
| creator | Li, Muyi Huang, Yongxiang |
| description | 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 |
| doi_str_mv | 10.1016/j.physa.2014.03.047 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_1551053367</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>1551053367</sourcerecordid><originalsourceid>FETCH-LOGICAL-c282t-eea643014f6ca83859e0e8a73b52323349c55186c7f1c80cb51ec9543cd743b3</originalsourceid><addsrcrecordid>eNotkLFOwzAURT2ARCl8AYtHlgQ7z47dEVVAEZVYslsvrk3TOkmxk6Eb_8Af8iWklOku515dHULuOMs54-XDLj9sjwnzgnGRM8iZUBdkxkDpTIDiV-Q6pR1jjCsoZuRt1YTaxeHn63s1YvdBq4hd8n1saY3JbWg7hqHxEe2AgWKH4ZiaRHtPl9umQ5qG3u5pi3Hvhhty6TEkd_ufc1I9P1XLVbZ-f3ldPq4zW-hiyJzDUsD0zpcWNWi5cMxpVFDLAgoAsbBScl1a5bnVzNaSO7uQAuxGCahhTu7Ps4fYf44uDaZtknUhYOf6MRk-tZkEKNWEwhm1sU8pOm8OsZnOHg1n5mTL7MyfLXOyZRiYyRb8AqwwYmA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1551053367</pqid></control><display><type>article</type><title>Hilbert–Huang Transform based multifractal analysis of China stock market</title><source>Access via ScienceDirect (Elsevier)</source><creator>Li, Muyi ; Huang, Yongxiang</creator><creatorcontrib>Li, Muyi ; Huang, Yongxiang</creatorcontrib><description>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 <0.1min-1, equivalent to a time scale range 10< tau <100min. The measured scaling exponents zeta (q) zeta (q) is convex with qq and deviates from the value q/2q/2, implying that the property of self-similarity is broken. Moreover, zeta (q) zeta (q) and the corresponding singularity spectrum D(h)D(h) can be described by a lognormal model with a Hurst number H=0.50H=0.50 and an intermittency parameter mu =0.12 mu =0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter.</description><identifier>ISSN: 0378-4371</identifier><identifier>DOI: 10.1016/j.physa.2014.03.047</identifier><language>eng</language><subject>Equivalence ; Fluctuation ; Fractal analysis ; Intermittency ; Markets ; Mathematical models ; Raw materials ; Transforms</subject><ispartof>Physica A, 2014-07, Vol.406, p.222-229</ispartof><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c282t-eea643014f6ca83859e0e8a73b52323349c55186c7f1c80cb51ec9543cd743b3</citedby><cites>FETCH-LOGICAL-c282t-eea643014f6ca83859e0e8a73b52323349c55186c7f1c80cb51ec9543cd743b3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,27924,27925</link.rule.ids></links><search><creatorcontrib>Li, Muyi</creatorcontrib><creatorcontrib>Huang, Yongxiang</creatorcontrib><title>Hilbert–Huang Transform based multifractal analysis of China stock market</title><title>Physica A</title><description>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 <0.1min-1, equivalent to a time scale range 10< tau <100min. The measured scaling exponents zeta (q) zeta (q) is convex with qq and deviates from the value q/2q/2, implying that the property of self-similarity is broken. Moreover, zeta (q) zeta (q) and the corresponding singularity spectrum D(h)D(h) can be described by a lognormal model with a Hurst number H=0.50H=0.50 and an intermittency parameter mu =0.12 mu =0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter.</description><subject>Equivalence</subject><subject>Fluctuation</subject><subject>Fractal analysis</subject><subject>Intermittency</subject><subject>Markets</subject><subject>Mathematical models</subject><subject>Raw materials</subject><subject>Transforms</subject><issn>0378-4371</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNotkLFOwzAURT2ARCl8AYtHlgQ7z47dEVVAEZVYslsvrk3TOkmxk6Eb_8Af8iWklOku515dHULuOMs54-XDLj9sjwnzgnGRM8iZUBdkxkDpTIDiV-Q6pR1jjCsoZuRt1YTaxeHn63s1YvdBq4hd8n1saY3JbWg7hqHxEe2AgWKH4ZiaRHtPl9umQ5qG3u5pi3Hvhhty6TEkd_ufc1I9P1XLVbZ-f3ldPq4zW-hiyJzDUsD0zpcWNWi5cMxpVFDLAgoAsbBScl1a5bnVzNaSO7uQAuxGCahhTu7Ps4fYf44uDaZtknUhYOf6MRk-tZkEKNWEwhm1sU8pOm8OsZnOHg1n5mTL7MyfLXOyZRiYyRb8AqwwYmA</recordid><startdate>20140715</startdate><enddate>20140715</enddate><creator>Li, Muyi</creator><creator>Huang, Yongxiang</creator><scope>AAYXX</scope><scope>CITATION</scope><scope>7TB</scope><scope>7U5</scope><scope>8FD</scope><scope>FR3</scope><scope>H8D</scope><scope>KR7</scope><scope>L7M</scope></search><sort><creationdate>20140715</creationdate><title>Hilbert–Huang Transform based multifractal analysis of China stock market</title><author>Li, Muyi ; Huang, Yongxiang</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c282t-eea643014f6ca83859e0e8a73b52323349c55186c7f1c80cb51ec9543cd743b3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Equivalence</topic><topic>Fluctuation</topic><topic>Fractal analysis</topic><topic>Intermittency</topic><topic>Markets</topic><topic>Mathematical models</topic><topic>Raw materials</topic><topic>Transforms</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Li, Muyi</creatorcontrib><creatorcontrib>Huang, Yongxiang</creatorcontrib><collection>CrossRef</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Solid State and Superconductivity Abstracts</collection><collection>Technology Research Database</collection><collection>Engineering Research Database</collection><collection>Aerospace Database</collection><collection>Civil Engineering Abstracts</collection><collection>Advanced Technologies Database with Aerospace</collection><jtitle>Physica A</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Li, Muyi</au><au>Huang, Yongxiang</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Hilbert–Huang Transform based multifractal analysis of China stock market</atitle><jtitle>Physica A</jtitle><date>2014-07-15</date><risdate>2014</risdate><volume>406</volume><spage>222</spage><epage>229</epage><pages>222-229</pages><issn>0378-4371</issn><abstract>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 <0.1min-1, equivalent to a time scale range 10< tau <100min. The measured scaling exponents zeta (q) zeta (q) is convex with qq and deviates from the value q/2q/2, implying that the property of self-similarity is broken. Moreover, zeta (q) zeta (q) and the corresponding singularity spectrum D(h)D(h) can be described by a lognormal model with a Hurst number H=0.50H=0.50 and an intermittency parameter mu =0.12 mu =0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter.</abstract><doi>10.1016/j.physa.2014.03.047</doi><tpages>8</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4371 |
| ispartof | Physica A, 2014-07, Vol.406, p.222-229 |
| issn | 0378-4371 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1551053367 |
| source | Access via ScienceDirect (Elsevier) |
| subjects | Equivalence Fluctuation Fractal analysis Intermittency Markets Mathematical models Raw materials Transforms |
| title | Hilbert–Huang Transform based multifractal analysis of China stock market |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-02T21%3A47%3A41IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Hilbert%E2%80%93Huang%20Transform%20based%20multifractal%20analysis%20of%20China%20stock%20market&rft.jtitle=Physica%20A&rft.au=Li,%20Muyi&rft.date=2014-07-15&rft.volume=406&rft.spage=222&rft.epage=229&rft.pages=222-229&rft.issn=0378-4371&rft_id=info:doi/10.1016/j.physa.2014.03.047&rft_dat=%3Cproquest_cross%3E1551053367%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1551053367&rft_id=info:pmid/&rfr_iscdi=true |