The modified partition function method and its application

ZHOU Wei-jie, DANG Yao-guo, GU Rong-bao, LIN Chen-yu

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 668-675.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 668-675. DOI: 10.12011/1000-6788(2014)3-668

The modified partition function method and its application

  • ZHOU Wei-jie1, DANG Yao-guo1, GU Rong-bao2, LIN Chen-yu1
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Abstract

On account of traditional partition function hardly applying to the condition that the time series length T is a prime number or cannot be divisible by scaling s, we put forward a modified partition function whose algorithm procedure is similar to MFDFA. Using the numerical simulation of binomial multifractality, the result shows that the new method dealing with the multifractality of time series whose length is prime number is feasible and effective. The economic meaning of parameters in partition function are also discussed. By applying modified partition function, we investigate the multifractality of Shanghai A-share index. Through shuffling, removing extreme values and iterating amplitude adjusted fourier transform technological, we find that the temporal correlation, fat-tail distribution and extreme events are all contributed to the multifractality, but the autocorrelation in sequence plays an important role in the source of multifractality.

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modified partition function method / numerical simulation / multifractality

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ZHOU Wei-jie , DANG Yao-guo , GU Rong-bao , LIN Chen-yu. The modified partition function method and its application. Systems Engineering - Theory & Practice, 2014, 34(3): 668-675 https://doi.org/10.12011/1000-6788(2014)3-668

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