Predictability of multifractal analysis of Hang Seng stock index in Hong Kong

In this paper, the daily Hang Seng index in Hong Kong stock market is studi ed by multifractal analysis. The main parameter of multifractal spectra use d is Deltaf, which can be used to characterize the ratio of number of highe st index moments to that of lowest ones. The dependence of today's gain pro bability (G%) and the day's index increase probability (n%) with Deltaf of the previous 3 days are studied. It is found that G% and n% can reach 70-80 % at the large positive Deltaf region and can be very close to 20% at the b ig negative Deltaf region. The predictability decreases with the increasing number of the previous days. (C) 2001 Elsevier Science B.V. All rights res erved.