Management Science and Engineering
Multifractal Detrended Flucutation Approach for the ETF in Chinese Market
Abstract
This paper presents a empirical research based on multifractal detrended flucutation on ETF fund in China. Our analysis exhibits multifractal characteristics for ETF in china, The results show more comprehensive picture of ETF performance appraisal and hence a complement to traditional risk approach.
Key words: Multifractal Detrended Fluctuation Approach;Singularity Exponent; Singularity Spectrum; Etf Fund
Keywords
DOI: http://dx.doi.org/10.3968/j.mse.1913035X20120601.2010
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