Role of mean in the multifractal analysis of financial time series

Abstract

This paper introduces a multiscale multifractal method based on n-mean to analyze the multifractal and role of the n-day mean of individual share exchange or stock composite index data. The method also allows us to discuss the role of the n-day mean of financial time series depending on their magnitude and the time scale using the generalized Hurst exponent and surfaces of Hurst exponent. In this paper, the proposed method focuses on the n-day mean of individual share exchange or stock composite index data, which lets us to apply the MMA method to analyze all financial time series. From the experimental results, we find that the experimental results provide important basic information for us to study financial time series. It is necessary to analyze the multifractal and role of the n-day mean of financial time series. The experimental results also provide important basic information for us to study financial time series.