Multifractal analysis of Chinese stock volatilities based on the partition function approach

We have performed a detailed multifractal analysis on the 1-min volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function chi(q)(S) scales as a power law with respect to the box size s. The scaling exponents tau(q) form a nonlinear function of q. Statistical tests based on bootstrapping show that the extracted multifractal nature is significant at the 1% significance level. The individual securities can be well modeled by the p-model in turbulence with p = 0.40 +/- 0.02. Based on the idea of ensemble averaging (including quenched and annealed average), we treat each stock exchange as a whole and confirm the existence of multifractal nature in the Chinese stock markets. (C) 2008 Elsevier B.V. All rights reserved.