Memory effect and multifractality of cross-correlations in financial markets

Details Memory effect and multifractality of cross-correlations in financial markets Memory effect and multifractality of cross-correlations in financial markets

2010-04-30

arxiv.org/abs/1004.5547v1

Economy

Quantitative Finance

Statistical Finance

11 pages, 4 figures.

Scientific paper

An 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.

Affiliated with

Also associated with

No associations

Rating

Memory effect and multifractality of cross-correlations in financial markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Memory effect and multifractality of cross-correlations in financial markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Memory effect and multifractality of cross-correlations in financial markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-388414