Application of Multi-Fractal Detrended Fluctuation Analysis

Rui Yang, Xiangyang Li, Junfeng Qi
2015 Proceedings of the 2015 International Conference on Education Technology, Management and Humanities Science   unpublished
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
more » ... 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.
doi:10.2991/etmhs-15.2015.249 fatcat:hg3ym6ur5bbv7eff63zt5psavi