Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102846 | Physica A: Statistical Mechanics and its Applications | 2017 | 23 Pages |
Abstract
This paper investigates the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence of long-range persistence that exists in one year scale. The degree of long-range correlation related to maturities has an upward tendency with a peak in short term. These findings confirm the expectations of fractal market hypothesis (FMH). Furthermore, we have developed a method based on a complex network to study the long-range cross-correlation structure and applied it to our data, and found a clear pattern of market segmentation in the long run. We also detected the nature of long-range correlation in the sub-period 2007-2012 and 2011-2016. The result from our research shows that long-range auto-correlations are decreasing in the recent years while long-range cross-correlations are strengthening.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Zhongxing Wang, Yan Yan, Xiaosong Chen,