Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

Ling-Yun He and Shu-Peng Chen

Chaos, Solitons & Fractals, 2011, vol. 44, issue 6, 355-361

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.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:44:y:2011:i:6:p:355-361

DOI: 10.1016/j.chaos.2010.11.005

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