Memory effect and multifractality of cross-correlations in financial markets
AbstractAn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1004.5547.
Date of creation: Apr 2010
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-FMK-2010-05-08 (Financial Markets)
- NEP-RMG-2010-05-08 (Risk Management)
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