英文标题：
《Multifractal characteristics and return predictability in the Chinese
stock markets》
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作者：
Xin-Lan Fu, Xing-Lu Gao, Zheng Shan, Zhi-Qiang Jiang, and Wei-Xing
Zhou (ECUST)
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最新提交年份：
2018
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英文摘要：
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock Exchange Composite Index (SZCI). The characteristics of the corresponding multifractal spectra are defined as a measurement of market volatility. It is found that there is a statistically significant relationship between the stock index returns and the spectral characteristics, which can be applied to forecast the future market return. The in-sample and out-of-sample tests on the return predictability of multifractal characteristics indicate the spectral width $\\Delta {\\alpha}$ is a significant and positive excess return predictor. Our results shed new lights on the application of multifractal nature in asset pricing.
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中文摘要：
采用多重分形去趋势波动（MF-DFA）分析方法，对上海证券交易所综合180指数（SH180）和深圳证券交易所综合指数（SZCI）两个典型指数的高频数据进行了多重分形分析。相应多重分形谱的特征被定义为市场波动性的度量。研究发现，股指收益率与谱特征之间存在着显著的统计关系，可以用来预测未来的市场收益率。多重分形特征收益可预测性的样本内和样本外检验表明，谱宽$\\δ{\\α}$是一个显著的正超额收益预测因子。我们的结果为多重分形性质在资产定价中的应用提供了新的线索。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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