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• W2002053209 startingPage "1883" @default.
• W2002053209 abstract "We investigate the cumulative probability density function (PDF) and the multiscaling properties of the returns in the Chinese stock market. By using returns data adjusted for thin trading, we find that the distribution has power-law tails at shorter microscopic timescales or lags. However, the distribution follows an exponential law for longer timescales. Furthermore, we investigate the long-range correlation and multifractality of the returns in the Chinese stock market by the DFA and MFDFA methods. We find that all the scaling exponents are between 0.5 and 1 by DFA method, which exhibits the long-range power-law correlations in the Chinese stock market. Moreover, we find, by MFDFA method, that the generalized Hurst exponents h(q) are not constants, which shows the multifractality in the Chinese stock market. We also find that the correlation of Shenzhen stock market is stronger than that of Shanghai stock market." @default.
• W2002053209 created "2016-06-24" @default.
• W2002053209 creator A5022390696 @default.
• W2002053209 creator A5057150931 @default.
• W2002053209 date "2010-05-01" @default.
• W2002053209 modified "2023-10-02" @default.
• W2002053209 title "Power law and multiscaling properties of the Chinese stock market" @default.
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• W2002053209 doi "https://doi.org/10.1016/j.physa.2010.01.005" @default.
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