The Fluctuation Of China’s Stock Market Based On Mult1fractal Theory

In an effective securities market, efficient market hypothesis denotes the price of the stockfluctuations is to follow the random walk; the distribution of price is normal distribution;investors are completely rational; information can be fast absorbed. The modern financeanalysis system was built based on it. However, the researchers found that the stock marketexists some abnormal phenomena, which is not subject to the features of effective markethypothesis description. Thus some scholars provided the fractal hypothesis, which denotescapital market is not fully effective; stock price is to follow the fractal Brownian motion;price distribution is not normal distribution but shows the chaos nature. If fractal markethypothesis is right, the modern financial analysis system will be revised according to thefractal theory. This paper will continue to research chaos phenomena in China’s stock market,based on daily and15minutes-high-frequency data in order to find the answers that whetherChinese stock market exists chaos phenomena and whether stock prices conform to the fractalhypothesis.This paper mainly includes6chapters which analyzed fractal characteristics andfluctuation in Chinese stock market:The first chapter is the introduction part, mainly introduce the volatility of the stock marketresearch background, the domestic and foreign relevant research, this paper the ideas of thedynamic and innovative points.The second chapter introduced the fractal theory, including the fractal concept, the fractalcharacteristics, types and the basic content of fractal theory.From the third chapter to the sixth chapter in this paper is an empirical part and the corepart of this paper. In the third chapter, based on high-frequency data of Shanghai compositeindex and shenzhen composite index confirmed Shanghai and Shenzheng market exist someabnormal phenomena which the traditional effective market hypothesis can’t explain. In the fourth chapter further using multifractal detrended fluctuation analysis, based on15-minutes-frequent data and daily data we described multifractal features of Shanghai stockindex and shenzhen stock index in detail and compared with the multifractal strength of twostock market.In the fifth chapter we analyzed the reasons of the existence of multifractality in the twostock markets, such as the uneven nature of the information transfer, the information of thesecurities market, nonlinear reflect, unmature market and so on.In the sixth chapter, the innovation of the study is given and conclusions are summarized.Through the above analysis we found Chinese stock market exists multifractal and foundout the reasons leading to information of multifractality. Based on multifractal theory of thestock market we provided the theory and method of the foundation.