Analysis of multifractal detrended fluctuation in stock market time series

To detect the scale qualities of stock market time series, we apply Multifractal Detrended Fluctuation Analysis (MF-DFA) to WMT index daily closing quotation. The research results show the change of WMT index daily closing quotation has multifractal properties. The generalized hurst exponent obviously depends on the order of fluctuate function and changes with it; The curve of scaling function clearly departs from a straight line, i.e. it shows clearly nonlinear property; The multifractal spectrum displays the commonly observed bell shape. This will provide an important theoretic foundation for researching multifractality in theory of finance.