| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480953 | Physica A: Statistical Mechanics and its Applications | 2013 | 8 Pages |
Abstract
⺠The price-volume cross-correlation for CSI300 index futures is studied by MFXDFA. ⺠Return and trading volume are long-range cross-correlated for CSI300 index futures. ⺠Multifractality exists in the cross-correlation between return and trading volume. ⺠Significant price-volume cross-correlation is verified by a cross-correlation test. ⺠The contemporaneous price-volume cross-correlation is the strongest.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Dong-Hua Wang, Yuan-Yuan Suo, Xiao-Wen Yu, Man Lei,