Multifractal analysis of Chinese stock volatilities based on the partition function approach

Abstract: We have performed a detailed multifractal analysis on the 1-min volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function scales as a power law with respect to the box size . The scaling exponents form a nonlinear function of . Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the -model in turbulence with . Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets. [Copyright &y& Elsevier]