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

fYear

2010

fDate

13-15 Aug. 2010

Firstpage

301

Lastpage

304

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on

Conference_Location

Hong Kong

Print_ISBN

978-1-4244-7575-9

Type

conf

DOI

10.1109/BIFE.2010.77

Filename

5621838