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ArticleMultifractal analysis of Hang Seng index in Hong Kong stock market

Xia Sun2001

Article2001

Multifractal analysis of Hang Seng index in Hong Kong stock market

Xia Sun · Huiping Chen · Ziqin Wu · Yongzhuang Yuan

118 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Statistical Mechanics and Entropy

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References

1963The Variation of Certain Speculative Prices 1995Scaling behaviour in the dynamics of an economic index 1996Scaling behaviour in the growth of companies 1999A Multifractal Walk down Wall Street 1998Power Law Scaling for a System of Interacting Units with Complex Internal Structure 1999Toward a theory of marginally efficient markets

Cited by

2008Multifractal analysis of Chinese stock volatilities based on the partition function approach 2008Multifractal structure in Latin-American market indices 2008Multifractality in stock indexes: Fact or Fiction?2012Price–volume multifractal analysis and its application in Chinese stock markets 2019A Modified Multifractal Detrended Fluctuation Analysis (MFDFA) Approach for Multifractal Analysis of Precipitation in Dongting Lake Basin, China 2007Multifractal properties of Chinese stock market in Shanghai 2014Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility

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Year2001

Typearticle

Published2001-03-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations118

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(00)00606-3

openalex_workW1996274012

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2013

Financial market volatility and contagion effect: A copula–multifractal volatility approach