| Presentation | 2002/3/8 Multifractal analysis of stock market price Takaaki OHNISHI, Kazuyuki AIHAR, |
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| PDF Download Page | PDF download Page Link |
| Abstract(in Japanese) | (See Japanese page) |
| Abstract(in English) | In this paper, The closing price of Japan's Nikkei Stock Average index is analyzed by multifractal. The multifractal spectrum was calculated using the time series of the closing price for the past T days. The correlation of the parameters of the multifractal spectra with the difference of the price between present and the L-day after is studied statistically. According to L and T, the strength of correlation changes and it turns out that strong correlation exists. This result has suggested that change of a market price is not strictly random and the efficient market hypothesis may not be appropriate. Multifractal analysis can be used to predict the increace or decrease of the price with high probability. |
| Keyword(in Japanese) | (See Japanese page) |
| Keyword(in English) | multifractal / predictability / Nikkei stock average index / stock market price change / efficient market hypothesis |
| Paper # | NLP2001-114 |
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| Conference Information | |
| Committee | NLP |
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| Conference Date | 2002/3/8(1days) |
| Place (in Japanese) | (See Japanese page) |
| Place (in English) | |
| Topics (in Japanese) | (See Japanese page) |
| Topics (in English) | |
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| Vice Chair | |
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| Paper Information | |
| Registration To | Nonlinear Problems (NLP) |
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| Language | JPN |
| Title (in Japanese) | (See Japanese page) |
| Sub Title (in Japanese) | (See Japanese page) |
| Title (in English) | Multifractal analysis of stock market price |
| Sub Title (in English) | |
| Keyword(1) | multifractal |
| Keyword(2) | predictability |
| Keyword(3) | Nikkei stock average index |
| Keyword(4) | stock market price change |
| Keyword(5) | efficient market hypothesis |
| 1st Author's Name | Takaaki OHNISHI |
| 1st Author's Affiliation | Department of Complexity Science and Engineering, Graduate School of Frontier Sciences, the University of Tokyo() |
| 2nd Author's Name | Kazuyuki AIHAR |
| 2nd Author's Affiliation | Department of Complexity Science and Engineering, Graduate School of Frontier Sciences, the University of Tokyo |
| Date | 2002/3/8 |
| Paper # | NLP2001-114 |
| Volume (vol) | vol.101 |
| Number (no) | 723 |
| Page | pp.pp.- |
| #Pages | 8 |
| Date of Issue | |