Paper Title:
Fractal Properties of Financial Time Series
  Abstract

In this paper, we analyze the stock of Nanjing Panda Electronics Co Ltd for the 44-year period, from May 2, 1996, to October 9, 2009, a total of 3200 trading days. Using the Box-counting dimension method, we find that the financial data have different power law exponents in the plot for the number of box and diameter of box, which indicates the multifractality exist in the time series. In order to investigate the latent properties in the data, the width and maximum of the singular spectrum are calculated. The results show the strong degree of multifractality in the time series.

  Info
Periodical
Key Engineering Materials (Volumes 439-440)
Edited by
Yanwen Wu
Pages
683-687
DOI
10.4028/www.scientific.net/KEM.439-440.683
Citation
H. Zhang, K. Q. Dong, "Fractal Properties of Financial Time Series", Key Engineering Materials, Vols. 439-440, pp. 683-687, 2010
Online since
June 2010
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Price
$32.00
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