文献类型：期刊文献

中文题名：Direct Evidence for Inversion Formula in Multifractal Financial Volatility Measure

英文题名：Direct Evidence for Inversion Formula in Multifractal Financial Volatility Measure

作者：Jiang Zhi-Qiang[1,2,3];Zhou Wei-Xing[1,2,3,4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Minist Educ, Engn Res Ctr Proc Syst Engn, Shanghai 200237, Peoples R China;[5]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China

年份：2009

卷号：26

期号：2

中文期刊名：Chinese Physics Letters

外文期刊名：CHINESE PHYSICS LETTERS

收录：CSTPCD;;EI(收录号：20220711660173);Scopus;WOS:【SCI-EXPANDED(收录号:WOS:000263243800080)】；CSCD:【CSCD2011_2012】；

基金：Supported by the National Natural Science Foundation of China under Grant No 70501011, the Fok Ying Tong Education Foundation under Grant No 101086, and the Programme for New Century Excellent Talents in University under Grant No NCET-07-0288.

语种：英文

中文关键词：field emission;molybdenum dioxide;enhancement factor

摘要：The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. We propose to verify the inversion formula using high-frequency turbulent financial data. We construct conservative volatility measure based on minutely S＆P 500 index from 1982 to 1999 and its inverse measure of exit time. Both the direct and inverse measures exhibit nice multifractal nature, whose sealing ranges are not irrelevant. Empirical investigation shows that the inversion formula holds in financial markets.
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. We propose to verify the inversion formula using high-frequency turbulent financial data. We construct conservative volatility measure based on minutely S&P 500 index from 1982 to 1999 and its inverse measure of exit time. Both the direct and inverse measures exhibit nice multifractal nature, whose scaling ranges are not irrelevant. Empirical investigation shows that the inversion formula holds in financial markets.