Hilbert-Huang Transform based multifractal analysis of China stock market

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	Hilbert-Huang Transform based multifractal analysis of China stock market
	Li, Muyi ; Huang, Yongxiang ; Li MY(李木易)
刊名	http://dx.doi.org/10.1016/j.physa.2014.03.047
	2014-07-15
关键词	EMPIRICAL MODE DECOMPOSITION TIME-SERIES ANALYSIS SPECTRAL-ANALYSIS SCALING BEHAVIOR
英文摘要	National Natural Science Foundation of China (NSFC) [11202122, 11301433, 11332006]; 'Pu Jiang' project of Shanghai [12PJ1403500]; Social Science Foundation of Fujian [2013C056]; In this paper, we employ the Hilbert-Huang Transform to investigate the multifractal character of Chinese stock market based on CSI 300 index. The measured Hilbert moment L-q(omega) shows a power-law behavior on the range 0.01 < omega < 0.1 min(-1), equivalent to a time scale range 10 < tau < 100 min. The measured scaling exponents zeta (q) is convex with q and deviates from the value q/2, implying that the property of self-similarity is broken. Moreover, zeta (q) and the corresponding singularity spectrum D(h) can be described by a lognormal model with a Hurst number H = 0.50 and an intermittency parameter mu = 0.12. Our results suggest that the Chinese stock fluctuation might be captured well by a multifractal random walk model with a proper intermittency parameter. (C) 2014 Elsevier B.V. All rights reserved.
语种	英语
出版者	ELSEVIER SCIENCE BV
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/90180]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	Li, Muyi,Huang, Yongxiang,Li MY. Hilbert-Huang Transform based multifractal analysis of China stock market[J]. http://dx.doi.org/10.1016/j.physa.2014.03.047,2014.
APA	Li, Muyi,Huang, Yongxiang,&李木易.(2014).Hilbert-Huang Transform based multifractal analysis of China stock market.http://dx.doi.org/10.1016/j.physa.2014.03.047.
MLA	Li, Muyi,et al."Hilbert-Huang Transform based multifractal analysis of China stock market".http://dx.doi.org/10.1016/j.physa.2014.03.047 (2014).