A Multifractal Detrended Fluctuation Analysis of the Ising Financial Markets Model with Small World Topology  

作　　者：张昂辉 李晓温 苏桂锋 张一 

机构地区：[1]Department of Physics,Shanghai Normal University

出　　处：《Chinese Physics Letters》2015年第9期13-16,共4页中国物理快报（英文版）

基　　金：Supported by the Scientific Research Foundation for the Returned Overseas Chinese Scholars of State Education Ministry

摘　　要：We present a multifractal detrended fluctuation analysis （MFDFA） of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors： broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.We present a multifractal detrended fluctuation analysis （MFDFA） of the time series of return generated by our recently-proposed Ising financial market model with underlying small world topology. The result of the MFDFA shows that there exists obvious multifractal scaling behavior in produced time series. We compare the MFDFA results for original time series with those for shuffled series, and find that its multifractal nature is due to two factors： broadness of probability density function of the series and different correlations in small- and large-scale fluctuations. This may provide new insight to the problem of the origin of multifractality in financial time series.

关 键 词：A Multifractal Detrended Fluctuation Analysis of the Ising Financial Markets Model with Small World Topology 

分 类 号：O211.61[理学—概率论与数理统计]