| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481393 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠We examine cross-correlations of agricultural futures markets between the US and China. ⺠We find that the cross-correlations are multifractal and long lasting. ⺠For q<0, the cross-correlation exponent is less than the averaged generalized Hurst exponent. ⺠For q>0, it is more than the averaged generalized Hurst exponent.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Zhihui Li, Xinsheng Lu,