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Multifractal analysis and instability index of prior-to-crash market situations
Multifractal analysis instability index prior-to-crash market situations
2010/11/2
We take prior-to-crash market prices (NASDAQ, Dow Jones Indus-trial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We stu...
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2010/10/29
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...
Multifractal analysis of Chinese stock volatilities based on partition function approach
Multifractal analysis Chinese stock partition function approach
2010/12/13
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function...