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Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis

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  • Guo, Yaoqi
  • Shi, Fengyuan
  • Yu, Zhuling
  • Yao, Shanshan
  • Zhang, Hongwei

Abstract

Based on the asymmetric multifractal detrending cross-correlation analysis (MF-ADCCA) method and the multifractal cross-correlation analysis (MFCCA) method, we propose a new method—the asymmetric multifractal cross-correlation analysis (MF-ACCA) method. The simulation results show that the algorithm can describe the asymmetric multifractal characteristics of two time series from qualitative and quantitative perspectives and we compare the MF-ACCA method and the MF-ADCCA method by using Binary ARFIMA model. In addition, the MF-ACCA method is used to analyze the asymmetric cross-correlation relationships among energy markets with different trends. We confirm that when a market experiences large fluctuations, the overall energy market in China exhibits multifractal characteristics, and the multifractal cross-correlations among energy markets are asymmetric.

Suggested Citation

  • Guo, Yaoqi & Shi, Fengyuan & Yu, Zhuling & Yao, Shanshan & Zhang, Hongwei, 2022. "Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    • Handle: RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000966
    DOI: 10.1016/j.physa.2022.127027
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