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The Conference on Web Based Business Management (WBM 2010 E-BOOK)

Chengdu,China,9.20-9.22,2010

ISBN: 978-1-935068-18-1 Scientific Research Publishing, USA

E-Book 1342pp Pub. Date: October 2010

Category: Engineering

Price: $80

Title: Modified Estimation Method of Fractal Parameter and Its Application in Analysis of Stock Market Fluctuation
Source: The Conference on Web Based Business Management (WBM 2010 E-BOOK) (pp 798-800)
Author(s): Guangxi Cao, Department of Finance, School of Economics and Management, Nanjing University of Information Science & Technology, Nanjing 210044, China
Abstract: Based on scaling symmetries，a new method of fractal parameter estimation was presented. We investigated the fractal character of Shanghai Stock Exchange Index(SSEC) using this new method. We find that the SSEC exhibits the long memory, intermittence, volatility and its probability distribution exists “fat fail”.
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