Long-range correlation and predictability of Chinese stock prices
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2020.124384
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Papers cond-mat/9905305, arXiv.org.
- Górski, A.Z & Drożdż, S & Speth, J, 2002. "Financial multifractality and its subtleties: an example of DAX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 496-510.
- V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley, 1999. "Scaling of the distribution of price fluctuations of individual companies," Papers cond-mat/9907161, arXiv.org.
- Teng, Yue & Shang, Pengjian, 2018. "Detrended fluctuation analysis based on higher-order moments of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 311-322.
- Yan, C. & Zhang, J.W. & Zhang, Y. & Tang, Y.N., 2005. "Power–law properties of Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 425-432.
- Ferreira, Paulo & Dionísio, Andreia & Movahed, S.M.S., 2017.
"Assessment of 48 Stock markets using adaptive multifractal approach,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 730-750.
- Paulo Ferreira & Andreia Dion'isio & S. M. S. Movahed, 2015. "Assessment of 48 Stock markets using adaptive multifractal approach," Papers 1502.05603, arXiv.org, revised Jul 2017.
- Matheus José Silva de Souza & Danilo Guimarães Franco Ramos & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018. "Examination of the profitability of technical analysis based on moving average strategies in BRICS," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-18, December.
- Gu, Gao-Feng & Zhou, Wei-Xing, 2007.
"Statistical properties of daily ensemble variables in the Chinese stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 497-506.
- Gao-Feng Gu & Wei-Xing Zhou, 2006. "Statistical properties of daily ensemble variables in the Chinese stock markets," Papers physics/0603147, arXiv.org.
- oh, Gabjin & Kim, Seunghwan & Eom, Cheoljun, 2008. "Long-term memory and volatility clustering in high-frequency price changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1247-1254.
- Jiang, J. & Li, W. & Cai, X. & Wang, Qiuping A., 2009. "Empirical study of recent Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(9), pages 1893-1907.
- Serletis, Apostolos & Rosenberg, Aryeh Adam, 2009. "Mean reversion in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 2007-2015.
- Norouzzadeh, P. & Jafari, G.R., 2005. "Application of multifractal measures to Tehran price index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 356(2), pages 609-627.
- Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
- Kaushik Matia & Yosef Ashkenazy & H. Eugene Stanley, 2003. "Multifractal Properties of Price Fluctuations of Stocks and Commodities," Papers cond-mat/0308012, arXiv.org.
- Amir Bashan & Ronny Bartsch & Jan W. Kantelhardt & Shlomo Havlin, 2008. "Comparison of detrending methods for fluctuation analysis," Papers 0804.4081, arXiv.org.
- Sarat Chandra Nayak & Bijan Bihari Misra, 2018. "Estimating stock closing indices using a GA-weighted condensed polynomial neural network," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 4(1), pages 1-22, December.
- Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
- Yanhui Liu & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1997. "Correlations in Economic Time Series," Papers cond-mat/9706021, arXiv.org.
- Zhu, Huijian & Zhang, Weiguo, 2018. "Multifractal property of Chinese stock market in the CSI 800 index based on MF-DFA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 497-503.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Zhuang, Xin-tian & Huang, Xiao-yuan & Sha, Yan-li, 2004. "Research on the fractal structure in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 293-305.
- Xiao, Qin & Pan, Xue & Stephen, Mutua & Yang, Yue & Li, Xinli & Yang, Huijie, 2015. "Discrete scale-invariance in cross-correlations between time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 161-170.
- Schumann, Aicko Y. & Kantelhardt, Jan W., 2011. "Multifractal moving average analysis and test of multifractal model with tuned correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(14), pages 2637-2654.
- Luís A. N. Amaral & Vasiliki Plerou & Parameswaran Gopikrishnan & Martin Meyer & H. Eugene Stanley, 2000. "The Distribution Of Returns Of Stock Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 365-369.
- A. Z. Gorski & S. Drozdz & J. Speth, 2002. "Financial multifractality and its subtleties: an example of DAX," Papers cond-mat/0205482, arXiv.org.
- Benoit Mandelbrot, 2015.
"The Variation of Certain Speculative Prices,"
World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78,
World Scientific Publishing Co. Pte. Ltd..
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394-394.
- Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
- Gao-Feng Gu & Wei-Xing Zhou, 2010. "Detrending moving average algorithm for multifractals," Papers 1005.0877, arXiv.org, revised Jun 2010.
- Parameswaran Gopikrishnan & Martin Meyer & Luis A Nunes Amaral & H Eugene Stanley, 1998. "Inverse Cubic Law for the Probability Distribution of Stock Price Variations," Papers cond-mat/9803374, arXiv.org, revised May 1998.
- Liu, Yanhui & Cizeau, Pierre & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Correlations in economic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 437-440.
- Stanley, H.E & Amaral, L.A.N & Canning, D & Gopikrishnan, P & Lee, Y & Liu, Y, 1999. "Econophysics: Can physicists contribute to the science of economics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 156-169.
- Qiu, T. & Zheng, B. & Ren, F. & Trimper, S., 2007. "Statistical properties of German Dax and Chinese indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 378(2), pages 387-398.
- Plerou, Vasiliki & Gopikrishnan, Parameswaran & Rosenow, Bernd & Amaral, Luis A.N. & Stanley, H.Eugene, 2000. "Econophysics: financial time series from a statistical physics point of view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 279(1), pages 443-456.
- Kumar, Sunil & Deo, Nivedita, 2009. "Multifractal properties of the Indian financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1593-1602.
- Du, Guoxiong & Ning, Xuanxi, 2008. "Multifractal properties of Chinese stock market in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 261-269.
- Bashan, Amir & Bartsch, Ronny & Kantelhardt, Jan W. & Havlin, Shlomo, 2008. "Comparison of detrending methods for fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5080-5090.
- P. Gopikrishnan & M. Meyer & L.A.N. Amaral & H.E. Stanley, 1998. "Inverse cubic law for the distribution of stock price variations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 3(2), pages 139-140, July.
- Yuan, Qianshun & Gu, Changgui & Weng, Tongfeng & Yang, Huijie, 2018. "Unbiased detrended fluctuation analysis: Long-range correlations in very short time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 179-189.
- Bai, Man-Ying & Zhu, Hai-Bo, 2010. "Power law and multiscaling properties of the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1883-1890.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Samuel T. Ogunjo, 2023. "The impact of the 2007–2008 global financial crisis on the multifractality of the Nigerian Stock Exchange," SN Business & Economics, Springer, vol. 3(1), pages 1-17, January.
- Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
- Luiz G. A. Alves & Higor Y. D. Sigaki & Matjaz Perc & Haroldo V. Ribeiro, 2020. "Collective dynamics of stock market efficiency," Papers 2011.14809, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stanley, H.Eugene, 2003. "Statistical physics and economic fluctuations: do outliers exist?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 318(1), pages 279-292.
- Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
- Zhou, Wei-Xing, 2012.
"Finite-size effect and the components of multifractality in financial volatility,"
Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
- Wei-Xing Zhou, 2009. "Finite-size effect and the components of multifractality in financial volatility," Papers 0912.4782, arXiv.org.
- Gu, Gao-Feng & Zhou, Wei-Xing, 2007.
"Statistical properties of daily ensemble variables in the Chinese stock markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 497-506.
- Gao-Feng Gu & Wei-Xing Zhou, 2006. "Statistical properties of daily ensemble variables in the Chinese stock markets," Papers physics/0603147, arXiv.org.
- Ruan, Yong-Ping & Zhou, Wei-Xing, 2011.
"Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
- Yong-Ping Ruan & Wei-Xing Zhou, 2010. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Papers 1008.0160, arXiv.org.
- Peng Liu & Yanyan Zheng, 2022. "Precision measurement of the return distribution property of the Chinese stock market index," Papers 2209.08521, arXiv.org, revised Nov 2023.
- Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
- Hasan, Rashid & Mohammad, Salim M., 2015. "Multifractal analysis of Asian markets during 2007–2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 746-761.
- Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
- Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008.
"Multifractality in stock indexes: Fact or Fiction?,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3605-3614.
- Zhi-Qiang Jiang & Wei-Xing Zhou, 2007. "Multifractality in stock indexes: Fact or fiction?," Papers 0706.2140, arXiv.org.
- Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
- Gao-Feng Gu & Xiong Xiong & Yong-Jie Zhang & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2014. "Stylized facts of price gaps in limit order books: Evidence from Chinese stocks," Papers 1405.1247, arXiv.org.
- Siqueira, Erinaldo Leite & Stošić, Tatijana & Bejan, Lucian & Stošić, Borko, 2010. "Correlations and cross-correlations in the Brazilian agrarian commodities and stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2739-2743.
- Yang, Honglin & Wan, Hong & Zha, Yong, 2013. "Autocorrelation type, timescale and statistical property in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1681-1693.
- He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
- Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
- Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
More about this item
Keywords
Detrended fluctuation analysis; Artificial neural network; Chinese stock market; High-frequency time series; Multiscale analysis;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:549:y:2020:i:c:s037843712030145x. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.