%0 Journal Article
%T The Multifractal Analysis on Stock Market Returns in China<br>中国股市收益率的多重分形分析
%A LU Fang-yuan
%A <br>卢方元
%J 系统工程理论与实践
%D 2004
%I 
%X This paper researches multifractality of Shanghai synthesis index returns and Shenzhen composition index returns by use of MF-DFA. The results show both Shanghai synthesis index returns and Shenzhen composition index returns have multifractality, present long-rang correlation and fat trail distribution; Shenzhen composition index returns has stronger correlation than Shanghai synthesis index, thus the fluctuation of Shanghai synthesis index is bigger than that of Shenzhen composition index returns.
%K return
%K MF-DFA method
%K multifractal<br>收益率
%K MF-DFA方法
%K 多重分形
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D3E997478943A0DC&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=B31275AF3241DB2D&sid=771152D1ADC1C0EB&eid=318E4CC20AED4940&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=19&reference_num=12