Zhuang, Xin-tian; Huang, Xiao-yuan; Sha, Yan-li - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 293-305
Applying fractal theory, this paper probes and discusses self-similarity and scale invariance of the Chinese stock market. It analyses three kinds of scale indexes, i.e., autocorrelation index, Hurst index and the scale index on the basis of detrended fluctuation analysis (DFA) algorithm and...