Based On Multifractal Theory Of Financial Market Risk Measure

Financial market risk is the most important one in today's financial risk. Whether the market risk can be accurately estimated and measured relates to state of the financial market or even the economic system. Accordingly, numerous practitioner and scholars focus on study of financial market risk.As a very important branch of nonlinear scientific research, multifractal theory can depict financial market effectively.In this thesis, positive analyses on time series of financial market are carried out. And the results show that both financial asset-price time series and trading-volume time series have the obvious multifractal characteristics. On this basis, multifractal spectrum and the parameters are used in the research of the volatility of financial market from the respect of two kinds of time series, both the asset-price time series and the trading volume-asset price ratio time series. It proves that the multifractal spectrum parameters has some capability in predicting the volatility of financial market. In this thesis, a new measurement of financial market risk based on multifractal theories is established, and its validity is also testified. Finally, a series of investing operating strategy based on the above achievement are proposed.