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Research on Stock Market Style Fractals Based on Multifractal R/S Analysis

XU Lin,SONG Guang-hui,GUO Wen-wei(School of Business Administration,South China University of Technology,Guangzhou 510640,China)  
This paper analyzes the fractal structure characteristics of the Chinese stock market style based on multifractal R/S analysis.By calculating the Hurst index and the average cycle of six kinds of style asset indices at different time scales,the paper finds that the existence of statistical self-similarity,scale invariance,long memory about the stock market styles,different style asset indices have different cycle fractal characteristics,which provides the investment decision-making and theoretical support in constructing moderate style drift strategy to get short-term excess returns for fund company and fund managers.
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