Analysis on Multifractal Characteristic of Volatility in Shanghai Stock Market

机译：上海股市波动性多术特征分析

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In this paper,we take the five minutes’ high-frequency data ranged from January 2,2003 to December 31,2008 of Shanghai Stock Exchange Composite Index as a sample,using the partition function method and multifractal detrended fluctuation analysis method (MF-DFA method) to calculate multifractal characteristic of realized volatility of Shanghai Index in different stages.Then we analyze the relationship between sampling frequency and the intensity of multifractal.Our study shows that the multifractal strength of realized volatility of Shanghai Index in different stages are differ from each other,at the same time,different sampling frequency also have significant influence on multifractality.

机译：在本文中，我们采用了五分钟的高频数据，从1月2日至2003年1月2日至2008年12月31日的上海证券交易所复合指数作为样品，采用分区功能方法和多重反应波动分析方法（MF-DFA方法）计算不同阶段上海指数挥发性的多重分态特征。然后，我们分析了采样频率与多重术的强度的关系。我们的研究表明，不同阶段的上海指数的实现波动性的多分术强度有所不同其他，同时，不同的采样频率对多重性的影响也具有显着影响。

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《International conference on financial risk and corporate finance management》|2013年||共5页
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作者
XUE Hao; LI Handong;
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正文语种
中图分类公司;
关键词
realized volatility; long memory; multifractality; stable distribution; MF-DFA;

机译：实现波动;长记忆;多重性;稳定的分布;MF-DFA;

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Analysis on Multifractal Characteristic of Volatility in Shanghai Stock Market

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