Title :
Multifractal Detrended Cross-Correlation Analysis of Chinese Stocks
Author :
Sun, Jingliang ; Sheng, Huanye
Author_Institution :
Dept. of Comput. Sci. & Technol., Shanghai Jiao Tong Univ., Shanghai, China
Abstract :
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.
Keywords :
correlation methods; pricing; stock markets; Chinese stocks; MF-DXA method; Shanghai Composite Index; Shenzhen Component Index; generalized Hurst exponent; multifractal detrended cross-correlation analysis; singularity spectrum; stock market price series; Correlation; Doped fiber amplifiers; Estimation; Fractals; Indexes; Stock markets; Time series analysis; Chinese stocks; detrended cross-correlation analysis; econophysics; multifractal;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-7575-9
DOI :
10.1109/BIFE.2010.77
