The cross-correlation analysis of multi property of stock markets based on MM-DFA

In this paper, we employ the detrended cross-correlation analysis (DCCA) to investigate the cross-correlations between different stock markets. We report the results of cross-correlated behaviors in US, Chinese and European stock markets in period 1997–2012 by using DCCA method. The DCCA shows the cross-correlated behaviors of intra-regional and inter-regional stock markets in the short and long term which display the similarities and differences of cross-correlated behaviors simply and roughly and the persistence of cross-correlated behaviors of fluctuations. Then, because of the limitation and inapplicability of DCCA method, we propose multiscale detrended cross-correlation analysis (MSDCCA) method to avoid "a priori" selecting the ranges of scales over which two coefficients of the classical DCCA method are identified, and employ MSDCCA to reanalyze these cross-correlations to exhibit some important details such as the existence and position of minimum, maximum and bimodal distribution which are lost if the scale structure is described by two coefficients only and essential differences and similarities in the scale structures of cross-correlation of intra-regional and inter-regional markets. More statistical characteristics of cross-correlation obtained by MSDCCA method help us to understand how two different stock markets influence each other and to analyze the influence from thus two inter-regional markets on the cross-correlation in detail, thus we get a richer and more detailed knowledge of the complex evolutions of dynamics of the cross-correlations between stock markets. The application of MSDCCA is important to promote our understanding of the internal mechanisms and structures of financial markets and helps to forecast the stock indices based on our current results demonstrated the cross-correlations between stock indices. We also discuss the MSDCCA methods of secant rolling window with different sizes and, lastly, provide some relevant implications and issue.

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Comparison of Multiscale Methods in the Stock Markets for Detrended Cross-correlation Analysis and Cross-sample Entropy

Fluctuation and Noise Letters ◽

10.1142/s0219477514500230 ◽

2014 ◽

Vol 13 (03) ◽

pp. 1450023 ◽

Cited By ~ 13

Author(s):

Yi Yin ◽

Pengjian Shang

Keyword(s):

Time Series ◽

Correlation Analysis ◽

Stock Markets ◽

Cross Correlation ◽

Sample Entropy ◽

Multiscale Methods ◽

Market Mechanisms ◽

Cross Correlation Analysis ◽

The Cross ◽

The Difference

In this paper, we employ multiscale cross-sample entropy (MSCE), multiscale detrended cross-correlation analysis (MSDCCA) and DCCA cross-correlation coefficient (σDCCA) measurement to investigate the relationship between time series among different stock markets. We report the results of synchronism and cross-correlation behaviors in US and Chinese stock markets by these three methods. It can be concluded that the MSCE analysis point out the similarity on the cross-correlation among the stock markets while the MSCE makes it difficult to distinguish the indices in the same region and identify the difference and uniqueness of stock markets. However, both the MSDCCA analysis and σDCCA analysis reflect the similarity and uniqueness on the cross-correlation behaviors and reach the consistency. Furthermore, MSDCCA gives detailed multiscale cross-correlation structures and show some new interesting characteristics and conclusions, while the multiscale analysis by σDCCA provides a large amount of information on the cross-correlations and quantifies the level of cross-correlation more clearly and intuitively. MSDCCA and σDCCA methods may be more proper measures for the investigation of the cross-correlation between time series. We believe that such researches are relevant for a better understanding of the stock market mechanisms, and may lead to a better forecasting of the stock indices.

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Multifractal Fluctuation Analysis of Correlations Between the Sector Stock Markets in China and the US

Fluctuation and Noise Letters ◽

10.1142/s0219477521500310 ◽

2020 ◽

pp. 2150031

Author(s):

You-Shuai Feng ◽

Hong-Yong Wang

Keyword(s):

Correlation Analysis ◽

Stock Markets ◽

Cross Correlation ◽

Rapid Development ◽

Fluctuation Analysis ◽

Cross Correlation Analysis ◽

The Us ◽

Cross Correlations ◽

The Cross ◽

Stock Indexes

With the rapid development of economic globalization, the stock markets in China and the US are increasingly linked. The fluctuation features and cross-correlations of the two countries’ markets have attracted extensive attention from market investors and researchers. In this paper, the fractal analysis methods including multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) and coupled detrended cross-correlation analysis (CDCCA) are applied to explore the volatilities of CSI300 and SP500 sector stock indexes as well as the cross-correlations and coupling cross-correlations between the two corresponding sector stock indexes. The results show that the auto-correlations, cross-correlations and coupling cross-correlations have multifractal fluctuation characteristics, and that the cross-correlations are asymmetric. Additionally, the coupling cross-correlation strengths are distinct due to the different influence of long-range correlations and fat-tailed distribution. Further, the co-movement between China and the US sector stock markets is susceptible to external market factors such as major economic events and national policies.

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POWER LAW AND STRETCHED EXPONENTIAL EFFECTS OF EXTREME EVENTS IN CHINESE STOCK MARKETS

Fluctuation and Noise Letters ◽

10.1142/s0219477510000162 ◽

2010 ◽

Vol 09 (02) ◽

pp. 203-217 ◽

Cited By ~ 23

Author(s):

XIAOJUN ZHAO ◽

PENGJIAN SHANG ◽

YULEI PANG

Keyword(s):

Correlation Analysis ◽

Power Law ◽

Extreme Events ◽

Stock Markets ◽

Cross Correlation ◽

Extreme Values ◽

Cumulative Distribution ◽

Stretched Exponential ◽

Cross Correlation Analysis ◽

Chinese Stock Markets

This paper reports the statistics of extreme values and positions of extreme events in Chinese stock markets. An extreme event is defined as the event exceeding a certain threshold of normalized logarithmic return. Extreme values follow a piecewise function or a power law distribution determined by the threshold due to a crossover. Extreme positions are studied by return intervals of extreme events, and it is found that return intervals yield a stretched exponential function. According to correlation analysis, extreme values and return intervals are weakly correlated and the correlation decreases with increasing threshold. No long-term cross-correlation exists by using the detrended cross-correlation analysis (DCCA) method. We successfully introduce a modification specific to the correlation and derive the joint cumulative distribution of extreme values and return intervals at 95% confidence level.

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Multiscale Multifractal Detrended Cross-Correlation Analysis of High-Frequency Financial Time Series

Fluctuation and Noise Letters ◽

10.1142/s0219477519500147 ◽

2019 ◽

Vol 18 (03) ◽

pp. 1950014 ◽

Cited By ~ 3

Author(s):

Jingjing Huang ◽

Danlei Gu

Keyword(s):

Time Series ◽

Correlation Analysis ◽

High Frequency ◽

Cross Correlation ◽

Financial Time Series ◽

Chinese Market ◽

Change Of Scale ◽

Cross Correlation Analysis ◽

Cross Correlations ◽

The Cross

In order to obtain richer information on the cross-correlation properties between two time series, we introduce a method called multiscale multifractal detrended cross-correlation analysis (MM-DCCA). This method is based on the Hurst surface and can be used to study the non-linear relationship between two time series. By sweeping through all the scale ranges of the multifractal structure of the complex system, it can present more information than the multifractal detrended cross-correlation analysis (MF-DCCA). In this paper, we use the MM-DCCA method to study the cross-correlations between two sets of artificial data and two sets of 5[Formula: see text]min high-frequency stock data from home and abroad. They are SZSE and SSEC in the Chinese market, and DJI and NASDAQ in the US market. We use Hurst surface and Hurst exponential distribution histogram to analyze the research objects and find that SSEC, SZSE and DJI, NASDAQ all show multifractal properties and long-range cross-correlations. We find that the fluctuation of the Hurst surface is related to the positive and negative of [Formula: see text], the change of scale range, the difference of national system, and the length of time series. The results show that the MM-DCCA method can give more abundant information and more detailed dynamic processes.

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Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2014.05.023 ◽

2014 ◽

Vol 410 ◽

pp. 154-166 ◽

Cited By ~ 32

Author(s):

Feng Ma ◽

Qian Zhang ◽

Chen Peng ◽

Yu Wei

Keyword(s):

Correlation Analysis ◽

Crude Oil ◽

Stock Markets ◽

Cross Correlation ◽

The West ◽

West Texas ◽

Cross Correlation Analysis

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Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2017.01.019 ◽

2017 ◽

Vol 472 ◽

pp. 67-76 ◽

Cited By ~ 13

Author(s):

Guangxi Cao ◽

Minjia Zhang ◽

Qingchen Li

Keyword(s):

Hong Kong ◽

Correlation Analysis ◽

Stock Markets ◽

Cross Correlation ◽

Mainland China ◽

Cross Correlation Analysis

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Pipeline system identification through cross-correlation analysis

Proceedings of the Institution of Mechanical Engineers Part E Journal of Process Mechanical Engineering ◽

10.1243/095440802320225275 ◽

2002 ◽

Vol 216 (3) ◽

pp. 133-142 ◽

Cited By ~ 18

Author(s):

S B M Beck ◽

N J Williamson ◽

N D Sims ◽

R Stanway

Keyword(s):

Correlation Analysis ◽

Cross Correlation ◽

Correlation Technique ◽

Pipeline System ◽

Pipe Network ◽

Cross Correlation Analysis ◽

Valve Position ◽

Single Sensor ◽

The Cross ◽

Cross Correlation Technique

The pipeline systems used to carry liquids and gases for the ventilation of buildings, water distributions networks, and the oil and chemical industries are usually monitored by a multiplicity of pressure, flow, and valve position sensors. By comparing the input signal to a valve with the pressure reading from the network using cross-correlation analysis, the technique described in this paper enables a single sensor to be used for monitoring. Specifically, the offset and gradient change of the cross-correlation function show the time delay between the input wave and the acquired output signal. These reflections arise from junctions, valves, and terminations, which can be located effectively using the cross-correlation technique. Investigations using a T-shaped pipe network have been conducted with a valve inserted in the pipeline to introduce artificial water hammer-type perturbations into the system. Both computational and experimental data are presented and the results are compared with the actual pipe network geometry. It is shown that it is possible to identify the location of various features of the network from the reflections and thus to perform either system characterisation or condition monitoring.

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