%0 Journal Article
%T Multifractal Analysis on Shanghai Stock Market<br>上海证券市场的多重分形特性分析
%A DU Guo-xiong
%A NING Xuan-xi
%A <br>都国雄
%A 宁宣熙
%J 系统工程理论与实践
%D 2007
%I 
%X In this article,we use three multifractal analysis methods,which are partition function method,singular spectrum method and multifractal detrended fluctuation method,to analyse the closing price series during the past seven years in Shanghai Stock Market with different time scales.We have conclusions that Shanghai Stock Market has weak multifractal features,its shape does not change with time scales,but its strength weakens with the scale shortening.With the order of paritition function incresing,the multifractal strength increses,the singular spectrum curve becomes rougher and the general Hurst exponent decreses.These results provide solid empirical base for further research of the dynamic mechanism of stock market price series.
%K stock market
%K price series
%K multifractal analysis<br>证券市场
%K 价格序列
%K 多重分形分析
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=5C7D54ECCFA7B664DC3D526D7E1CEB7F&yid=A732AF04DDA03BB3&vid=DB817633AA4F79B9&iid=F3090AE9B60B7ED1&sid=1371F55DA51B6E64&eid=F4B561950EE1D31A&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=17