Abstract: Shanghai composite index (SCI) is decomposed into a series of intrinsic mode functions (IMFs) and a residual using the empirical mode decomposition (EMD) method. Fluctuation properties of each IMF are obtained. A basic statistic analysis and fitting on the distribution of the IMFs reveal that the “leptokurtosis, fattailed” characteristics of IMFs obey tdistribution with a degree of freedom 3. Fluctuation cycles and characteristics on widely concerned time scales, such as week, month, half year, etc are obtained. Particularly, fluctuation properties of typical rising and dropping periods are analyzed. 

Key words: empirical mode decomposition (EMD), financial time series, intrinsic mode function (IMF)