文献类型：期刊文献

英文题名：Multifractal analysis of Chinese stock volatilities based on the partition function approach

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

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, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：387

期号：19-20

起止页码：4881

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20082411308530);WOS:【SCI-EXPANDED(收录号:WOS:000257967800017)】；

语种：英文

外文关键词：econophysics; multifractal analysis; partition function approach; quenched average; annealed average; bootstrapping; stock markets

摘要：We have performed a detailed multifractal analysis on the 1-min volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function chi(q)(S) scales as a power law with respect to the box size s. The scaling exponents tau(q) form a nonlinear function of q. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the p-model in turbulence with p = 0.40 +/- 0.02. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets. (C) 2008 Elsevier B.V. All rights reserved.