Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

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.

► We investigated cross-correlations between China’s and US agricultural futures markets. ► Power-law cross-correlations are found between the geographically far but correlated markets. ► Multifractal features are significant in all the markets. ► Cross-correlation exponent is less than averaged GHE when q < 0 and greater than the latter when q > 0.