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Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

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  • He, Ling-Yun
  • Chen, Shu-Peng

Abstract

We investigated geographically far but temporally correlated China’s and US agricultural futures markets. We found that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the markets. It is very interesting that the geographically far markets show strong cross-correlations and share much of their multifractal structure. Furthermore, we found that for all the agricultural futures markets in our studies, the cross-correlation exponent is less than the averaged generalized Hurst exponents (GHE) when q<0 and greater than the averaged GHE when q>0.

Suggested Citation

  • He, Ling-Yun & Chen, Shu-Peng, 2011. "Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets," Chaos, Solitons & Fractals, Elsevier, vol. 44(6), pages 355-361.
    • Handle: RePEc:eee:chsofr:v:44:y:2011:i:6:p:355-361
    DOI: 10.1016/j.chaos.2010.11.005
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    References listed on IDEAS

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