Multifractal detrended fluctuation analysis of the Chinese stock index futures market

Xinsheng Lu, Jie Tian, Ying Zhou, Zhihui Li

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43 Citations (Scopus)

Abstract

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insufficient to describe the futures price fluctuations. Further, by comparing the original time series with the transformed time series through shuffling procedure and phase randomization procedure, we show the existence of two different sources of the multifractality for the Chinese stock index futures market. Our results suggest that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also contribute to such multifractal behaviour.

Original languageEnglish
Pages (from-to)1452-1458
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Volume392
Issue number6
DOIs
Publication statusPublished - 15 Mar 2013
Externally publishedYes

Keywords

  • Generalized Hurst exponent
  • MF-DFA
  • Multifractality
  • Stock index futures

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