Multifractality in stock indexes: Fact or Fiction?

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چکیده

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Multifractality in stock indexes: Fact or fiction?

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&P500, and NASDAQ) to check whether the indexes (instead of the returns) possess multifractality. We find that the mass exponent τ(q) is linear and the singularity α(q) is close to 1 for all trading days and all index...

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ژورنال

عنوان ژورنال: Physica A: Statistical Mechanics and its Applications

سال: 2008

ISSN: 0378-4371

DOI: 10.1016/j.physa.2008.02.015