Study on financial risk measure based on multifractal theory
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    Abstract:

    Multifractal is a powerful tool to describe the complexity of fluctuations in financial markets, and the multifractal spectrum of financial price time series is a concrete and complete description of its complex characteristics. Take the multifractal spectrum of high frequency price time series of Shanghai Stock Exchange Composite index as example, a new market risk measure based on two main parameters of multifractal spectrum is constructed, which may make up for the shortcomings of traditional risk measur...

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