Multi-Fractal Nature of HS 300 Index and its Traded Volume

Abstract:

A study of the multi-fractal nature of three time series related to the Hushen300 index, HS300, including daily closing prices, daily yield rates and daily traded volumes time series is presented. Multi-fractal Detrended Fluctuation Analysis (MFDFA) is used in the study. The results show that the three related time series are with strong persistence characters. By multi-fractal spectrum analysis, the width of the multi-fractal Spectra of traded volume series is to be found the biggest among the three. It means that the traded volumes series are most irregular.

• Periodical: Advanced Materials Research (Volume 629)
• Pages: 796-800
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.629.796
• Online since: December 2012
• Authors: Shun Gen Zuo
• Keywords: HS 300 Index, MFDFA, Multi-Fractal Nature

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