Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

被引：155

作者：

He, Ling-Yun ^{[1
]}

Chen, Shu-Peng ^{[1
]}

机构：

[1] China Agr Univ, Coll Econ & Management, Ctr Futures & Financial Derivat, Beijing 100083, Peoples R China

来源：

CHAOS SOLITONS & FRACTALS | 2011年 / 44卷 / 06期

基金：

中国国家自然科学基金;

关键词：

D O I：

10.1016/j.chaos.2010.11.005

中图分类号：

O1 [数学];

学科分类号：

070101 [基础数学];

摘要：

We investigated geographically far but temporally correlated China's and US agricultural futures markets. We found that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the markets. It is very interesting that the geographically far markets show strong cross-correlations and share much of their multifractal structure. Furthermore, we found that for all the agricultural futures markets in our studies, the cross-correlation exponent is less than the averaged generalized Hurst exponents (GHE) when q < 0 and greater than the averaged GHE when q > 0. (C) 2011 Elsevier Ltd. All rights reserved.

引用

页码：355 / 361

页数：7

共 13 条

[1]

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[2]

Multifractal spectrum analysis of nonlinear dynamical mechanisms in China's agricultural futures markets [J].