Multifractals of investor behavior in stock market

被引：4

作者：

Oh, Gabjin ^{[1
]}

机构：

[1] Chosun Univ, Div Business Adm, Coll Business, Gwangju 61452, South Korea

来源：

JOURNAL OF THE KOREAN PHYSICAL SOCIETY | 2017年 / 71卷 / 01期

关键词：

Multifractal; Investor activity; Complexity; DETRENDED FLUCTUATION ANALYSIS; LOSS AVERSION; VOLATILITY;

D O I：

10.3938/jkps.71.19

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we analyze the nonlinear properties of investor activity using the multifractal detrended fluctuation analysis (MF-DFA) method. Using the aggregated trading volumes of buying, selling, and normalized net investor trading (NIT) to quantify the characteristics of trader behavior in the KOSPI market, we find that the cumulative distribution functions of all NIT time series, except for individual traders, follow a power-law distribution with an exponent in the range of 2.92 <= gamma <= 3.87. To observe the nonlinear features of investor activity, we also calculate the multifractal spectra for the buyer, seller, and NIT data sets and find that a multifractal structure exists in all of the data, regardless of the investor type studied.

引用

页码：19 / 27

页数：9

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