Application of Multi-Fractal Detrended Fluctuation Analysis
Rui Yang, Xiangyang Li, Junfeng Qi
Available Online March 2015.
- https://doi.org/10.2991/etmhs-15.2015.249How to use a DOI?
- Multi-Fractal; Detrended Fluctuation Analysis.
- This paper selects several major stock indices from Europe, America and Asia, and analyze their data from September 1, 2006 to September 30, 2013 based on the MF-DFA (Multi-Fractal Detrended Fluctuation Analysis) method, carry out Hurst exponent and multi-fractal spectrum analysis respectively, and revealed the presence of multi-fractal properties of all the indices, besides, the multi-fractal properties of indices from different continents are affected by different factors. The Hurst exponent calculation shows that Hong Kong Hang Seng Index has the greatest risk among all the major Asian indices, Dow Jones index has the greatest risk among all the major American indices, and the FTSE 100 index has the greatest risk among all the major European indices.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Rui Yang AU - Xiangyang Li AU - Junfeng Qi PY - 2015/03 DA - 2015/03 TI - Application of Multi-Fractal Detrended Fluctuation Analysis BT - 2015 International Conference on Education Technology, Management and Humanities Science (ETMHS 2015) PB - Atlantis Press SP - 1139 EP - 1144 SN - 2352-5398 UR - https://doi.org/10.2991/etmhs-15.2015.249 DO - https://doi.org/10.2991/etmhs-15.2015.249 ID - Yang2015/03 ER -