Memory effect and multifractality of cross-correlations in financial markets
Statistical Finance
2015-05-18 v1
Abstract
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time intervals. Long-range time-correlations are revealed, and are found to persist up to a month-order magnitude of the price return time interval. Multifractal nature is investigated by a multifractal detrended fluctuation analysis.
Keywords
Cite
@article{arxiv.1004.5547,
title = {Memory effect and multifractality of cross-correlations in financial markets},
author = {Tian Qiu and Guang Chen and Li-Xin Zhong and Xiao-Wei Lei},
journal= {arXiv preprint arXiv:1004.5547},
year = {2015}
}
Comments
11 pages, 4 figures.