Abstract
A study of the multi-fractal nature of three time series related to the Hushen300 index, HS300, including daily closing prices, daily yield rates and daily traded volumes time series is presented. Multi-fractal Detrended Fluctuation Analysis (MFDFA) is used in the study. The results show that the three related time series are with strong persistence characters. By multi-fractal spectrum analysis, the width of the multi-fractal Spectra of traded volume series is to be found the biggest among the three. It means that the traded volumes series are most irregular.
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