Multifractal Characteristics of China’s Stock Market and Slump’s Fractal Prediction

It is necessary to quantitatively describe or illustrate the characteristics of abnormal stock price fluctuations in order prevent and control financial risks. This paper studies fractal structure China’s market by calculating dimension scaling behavior on timeline its eight big slumps, results show that slumps have multifractal characteristics, which are correlated with policy intervention, institutional arrangements, investors’ rationality. The empirical findings a perfect match anomalous features prices. dimensions collapses between 0.84 0.98. distribution sensitive conditions active degree speculative trading. more mature risk-averse investors correspond higher fall less deep. Therefore, could reflect evolution investment philosophy. parameter set calculated this be used as an effective tool foresee horizon.