Abstract:

Fractal structure features of China's stock market by EMD (Empirical Mode Decomposition) and (R/ S: Rescaled Range Analysis) analysis method is explored. It is analyzed that the CSI 300 index closing price logarithmic return rate by using empirical mode decomposition method, using R/ S analysis of fractal theory to research empirical mode function to reveal the fractal characters of Chinese stock market. the final result shows that Chinese stock market has obvious self-similarity, the yield of the decomposed sequences is biased random walk process.

Key words: high frequency, empirical mode decomposition, Hurst moving average index, fractal characteristics