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Statistical analysis on multifractal detrended cross-correlation coefficient for return interval by oriented percolation

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  • Wei Deng

    (Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

  • Jun Wang

    (Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China)

Abstract

We investigate and quantify the multifractal detrended cross-correlation of return interval series for Chinese stock markets and a proposed price model, the price model is established by oriented percolation. The return interval describes the waiting time between two successive price volatilities which are above some threshold, the present work is an attempt to quantify the level of multifractal detrended cross-correlation for the return intervals. Further, the concept of MF-DCCA coefficient of return intervals is introduced, and the corresponding empirical research is performed. The empirical results show that the return intervals of SSE and SZSE are weakly positive multifractal power-law cross-correlated, and exhibit the fluctuation patterns of MF-DCCA coefficients. The similar behaviors of return intervals for the price model is also demonstrated.

Suggested Citation

  • Wei Deng & Jun Wang, 2015. "Statistical analysis on multifractal detrended cross-correlation coefficient for return interval by oriented percolation," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 26(01), pages 1-17.
    • Handle: RePEc:wsi:ijmpcx:v:26:y:2015:i:01:n:s0129183115500023
    DOI: 10.1142/S0129183115500023
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871, September.
    2. Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
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    Cited by:

    1. Zhang, Wei & Wang, Jun, 2017. "Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 29-41.

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