Memory effect and multifractality of cross-correlations in financial markets
We introduce an instantaneous and an average instantaneous cross-correlation function to detect the temporal cross-correlations between individual stocks based on the daily data of the United States and the Chinese stock markets. The memory effect of the instantaneous cross-correlations is investigated by applying the detrended fluctuation analysis (DFA), where the DFA exponents can be partly explained by the correlation function from the common sense. Long-range memory is observed for the average instantaneous cross-correlations, and persists up to a month magnitude of timescale for the United States stock market and half a month magnitude of timescale for the Chinese stock market. In addition, multifractal nature is investigated by a multifractal detrended fluctuation analysis.
Year of publication: |
2011
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Authors: | Qiu, Tian ; Chen, Guang ; Zhong, Li-Xin ; Lei, Xiao-Wei |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 390.2011, 5, p. 828-836
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Publisher: |
Elsevier |
Subject: | Econophysics | Stock market | Detrended fluctuation analysis |
Saved in:
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