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Multifractals of investor behavior in stock market

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Abstract

In this paper, we analyze the nonlinear properties of investor activity using the multifractal detrended fluctuation analysis (MF-DFA) method. Using the aggregated trading volumes of buying, selling, and normalized net investor trading (NIT) to quantify the characteristics of trader behavior in the KOSPI market, we find that the cumulative distribution functions of all NIT time series, except for individual traders, follow a power-law distribution with an exponent in the range of 2.92 ≤ γ ≤ 3.87. To observe the nonlinear features of investor activity, we also calculate the multifractal spectra for the buyer, seller, and NIT data sets and find that a multifractal structure exists in all of the data, regardless of the investor type studied.

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Authors and Affiliations

  1. Division of Business Administration, College of Business, Chosun University, Gwangju, 61452, Korea

    Gabjin Oh

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  1. Gabjin Oh
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Correspondence to Gabjin Oh.

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Oh, G. Multifractals of investor behavior in stock market. Journal of the Korean Physical Society 71, 19–27 (2017). https://doi.org/10.3938/jkps.71.19

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  • DOI: https://doi.org/10.3938/jkps.71.19

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