Dual Fractal Dimension and Long-Range Correlation of Chinese Stock Prices
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概要
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The recently developed modified inverse random midpoint displacement (mIRMD) and conventional detrended fluctuation analysis (DFA) algorithms are used to analyze the tick-by-tick high-frequency time series of Chinese A-share stock prices and indexes. A dual-fractal structure with a crossover at about 10 min is observed. The majority of the selected time series show visible persistence within this time threshold, but approach a random walk on a longer time scale. The phenomenon is found to be industry-dependent, i.e., the crossover is much more prominent for stocks belonging to cyclical industries than for those belonging to noncyclical (defensive) industries. We have also shown that the sign series show a similar dual-fractal structure, while like generally found, the magnitude series show a much longer time persistence.
- 2012-03-15
著者
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Wang Lei
Department Of Cardio-thoracic Surgery Xinhua Hospital School Of Medicine Shanghai Jiaotong Universit
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Wang Lei
Department of Physics, Renmin University of China, Beijing 100872, People's Republic of China
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CHEN Chaoshi
Department of Physics, Renmin University of China, Beijing 100872, People's Republic of China
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Chen Chaoshi
Department of Physics, Renmin University of China, Beijing 100872, People's Republic of China
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