Correlation analysis of multifractal stock price fluctuations based on partition function
Studying the correlation analysis of stock price fluctuations helps to understand market dynamics better and improve the scientific nature of investment decisions and risk management capabilities. Most existing methods use multifractals to explore the correlation between different economic entities....
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| Format: | Article |
| Language: | English |
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Elsevier
2024-12-01
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| Series: | Journal of King Saud University: Computer and Information Sciences |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S1319157824003227 |
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| author | Huan Wang Wei Song |
| author_facet | Huan Wang Wei Song |
| author_sort | Huan Wang |
| collection | DOAJ |
| description | Studying the correlation analysis of stock price fluctuations helps to understand market dynamics better and improve the scientific nature of investment decisions and risk management capabilities. Most existing methods use multifractals to explore the correlation between different economic entities. However, the study of multifractals fails to fully consider the weight of each entity’s impact on the market, resulting in an inaccurate description of the overall market dynamics. To address this problem, this paper creatively proposes a weighted multifractal analysis method (WMA). The correlation analysis of government regulation, market supply and demand, and stock price index is performed using the data of A-share listed companies in Shenzhen and Shanghai as samples. First, we consider the amplitude fluctuation information the signal carries and weigh the partition function according to the proportion of variance in the segment for different amplitude changes. Secondly, we derive the theoretical analytical form of the classical multifractal model (SMA) of the scaling indicator under WMA. Finally, through numerical simulation experiments, it is confirmed that WMA is equally effective as SMA. In addition, the re-fractal correlation analysis of real financial time series also confirms that WMA can effectively utilize the amplitude fluctuation information in the series and outperforms the classical SMA method in distinguishing different signals. |
| format | Article |
| id | doaj-art-97c4d03aa7f34fd98e9ab9b7a4bf6f34 |
| institution | Kabale University |
| issn | 1319-1578 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Journal of King Saud University: Computer and Information Sciences |
| spelling | doaj-art-97c4d03aa7f34fd98e9ab9b7a4bf6f342024-12-30T04:15:28ZengElsevierJournal of King Saud University: Computer and Information Sciences1319-15782024-12-013610102233Correlation analysis of multifractal stock price fluctuations based on partition functionHuan Wang0Wei Song1Heilongjiang Polytechnic, School of Accounting and Finance, ChinaCorresponding author.; Heilongjiang Polytechnic, School of Accounting and Finance, ChinaStudying the correlation analysis of stock price fluctuations helps to understand market dynamics better and improve the scientific nature of investment decisions and risk management capabilities. Most existing methods use multifractals to explore the correlation between different economic entities. However, the study of multifractals fails to fully consider the weight of each entity’s impact on the market, resulting in an inaccurate description of the overall market dynamics. To address this problem, this paper creatively proposes a weighted multifractal analysis method (WMA). The correlation analysis of government regulation, market supply and demand, and stock price index is performed using the data of A-share listed companies in Shenzhen and Shanghai as samples. First, we consider the amplitude fluctuation information the signal carries and weigh the partition function according to the proportion of variance in the segment for different amplitude changes. Secondly, we derive the theoretical analytical form of the classical multifractal model (SMA) of the scaling indicator under WMA. Finally, through numerical simulation experiments, it is confirmed that WMA is equally effective as SMA. In addition, the re-fractal correlation analysis of real financial time series also confirms that WMA can effectively utilize the amplitude fluctuation information in the series and outperforms the classical SMA method in distinguishing different signals.http://www.sciencedirect.com/science/article/pii/S1319157824003227Stock price indexMultifractalsGovernment controlMarket supply and demandCorrelation analysis |
| spellingShingle | Huan Wang Wei Song Correlation analysis of multifractal stock price fluctuations based on partition function Journal of King Saud University: Computer and Information Sciences Stock price index Multifractals Government control Market supply and demand Correlation analysis |
| title | Correlation analysis of multifractal stock price fluctuations based on partition function |
| title_full | Correlation analysis of multifractal stock price fluctuations based on partition function |
| title_fullStr | Correlation analysis of multifractal stock price fluctuations based on partition function |
| title_full_unstemmed | Correlation analysis of multifractal stock price fluctuations based on partition function |
| title_short | Correlation analysis of multifractal stock price fluctuations based on partition function |
| title_sort | correlation analysis of multifractal stock price fluctuations based on partition function |
| topic | Stock price index Multifractals Government control Market supply and demand Correlation analysis |
| url | http://www.sciencedirect.com/science/article/pii/S1319157824003227 |
| work_keys_str_mv | AT huanwang correlationanalysisofmultifractalstockpricefluctuationsbasedonpartitionfunction AT weisong correlationanalysisofmultifractalstockpricefluctuationsbasedonpartitionfunction |