文献类型：期刊文献

英文题名：Multifractality in stock indexes: Fact or fiction?

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：14

起止页码：3605

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

收录：;EI(收录号：20081511198071);WOS:【SCI-EXPANDED(收录号:WOS:000256126600025)】；

语种：英文

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

摘要：Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P 500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent tau(q) is linear and the singularity alpha(q) is close to 1 for all trading days and all indexes. Furthermore, we find strong evidence showing that the scaling behaviors of the original data sets cannot be distinguished from those of shuffled time series. Hence, the so-called multifractality in the intraday stock market indexes is merely an illusion. (c) 2008 Elsevier B.V. All rights reserved.