Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science

Application of Multi-Fractal Detrended Fluctuation Analysis

Authors
Rui Yang, Xiangyang Li, Junfeng Qi
Corresponding Author
Rui Yang
Available Online March 2015.
DOI
https://doi.org/10.2991/etmhs-15.2015.249How to use a DOI?
Keywords
Multi-Fractal; Detrended Fluctuation Analysis.
Abstract

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.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2015
ISBN
978-94-62520-61-5
ISSN
2352-5398
DOI
https://doi.org/10.2991/etmhs-15.2015.249How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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  - Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science
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  -