Multifractal Detrended Cross-Correlation Analysis of Chinese Stocks
In this paper,we use Multifractal Detrended Cross-Correlation Analysis(MF-DXA) method to investigate the cross-correlation of Chinese stocks,which expected to be correlated. The mentioned data are high frequency data recorded every 15s during 2009. We analyze the Shanghai Composite Index (SHCI) and the Shenzhen Component Index (SZCI),get the cross-correlation exponent 0.60. We determine generalized Hurst exponent and singularity spectrum. Different from former researches,the singularity spectrum is well fitted by an intersection of two parabolas. These results provide solid empirical base for further research of the dynamic mechanism of stock market price series.
multifractal detrended cross-correlation analysis econophysics Chinese stocks
Jingliang Sun Huanye Sheng
Department of Computer Science and Technology Shanghai Jiao Tong University Shanghai,200240,China
国际会议
香港
英文
301-304
2010-08-17（万方平台首次上网日期，不代表论文的发表时间）