Multifractal Characteristic Analysis Of The Trust Company Stock Returns Of China

In this thesis,we analyze and study the fluctuation characteristics and mutual relations of the trust industry stock market in our country.Selecting two trust companies listed on the Shanghai Stock Exchange--Anxin trust and Shanxi Province investment company,we analyze the logarithmic returns rate series of the stock daily closing prices of the two companies.Firstly,the MF-DFA analysis method is used to analyze and compare their multifractal properties and related fractal characteristics.Secondly,both the characteristics of volatility of the stock indexes and the time scale are analyzed by using the multiple multifractal distribution entropy analysis(MM-DEA).We use six different time series as the research objects,and discuss the influence of time series on the analysis results.Finally,we use MM-DCCA analysis method to discuss their correlation.At the same time,the fractal characteristics of the stock returns series are discussed.The main conclusions are as follows:1.By analyzing the daily closing price data of the two trust companies,we find that the multifractal strength of Shanxi Province investment company is greater than that of Anxin trust,and therefore its risk is greater.But whether Anxin trust or Shanxi Province investment company,their returns series have significant long memory.2.We use MM-DEA analysis method to characterize the multifractal features of the time series under the different scopes of the time scale.The results find that the smaller the scale range is and the longer the time sequence is,the fiercer the fluctuation is.However,there is no significant fluctuation in large scale range.3.We use MM-DCCA analysis method to analyze the interaction correlation characteristics of the returns rate series of stock indexes between Anxin trust and Shanxi Province investment company.The analysis results show that there is a significant interaction between the two groups in the small scale range.We fix the length of time sequence of Anxin trust and change the sequence length of Shanxi Province investment company,the results show that the volatility is more significant in the shorter time series,but under the condition of the longer time series,the feature is approximate to irrelevant.