کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7381433 1480171 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multifractal cross-correlation spectra analysis on Chinese stock markets
ترجمه فارسی عنوان
تجزیه و تحلیل طیف متقابل همبستگی چندگانه با بازار سهام چینی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
In this paper, the long-range cross-correlation of Chinese stock indices is systematically studied. The multifractal detrended cross-correlation analysis (MF-DXA) appears to be one of the most effective methods in detecting long-range cross-correlation of two non-stationary variables. The Legendre spectrum and the large deviations spectrum are extended to the cross-correlation case, so as to present multifractal structure of stock return and volatility series. It is characterized of the multifractality in Chinese stock markets, partly due to clusters of local detrended covariance with large and small magnitudes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 402, 15 May 2014, Pages 84-92
نویسندگان
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