Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data

Yu Zhou and Shi Chen

Physica A: Statistical Mechanics and its Applications, 2016, vol. 443, issue C, 117-127

Abstract: In this paper, we investigate the high-frequency cross-correlation relationship between Chinese treasury futures contracts and treasury ETF. We analyze the logarithmic return of these two price series, from which we can conclude that both return series are not normally distributed and the futures markets have greater volatility. We find significant cross-correlation between these two series. We further confirm the relationship using the DCCA coefficient and the DMCA coefficient. We quantify the long-range cross-correlation with DCCA method, and we further show that the relationship is multifractal. An arbitrage algorithm based on DFA regression with stable return is proposed in the last part.

Keywords: Multifractal detrended cross-correlation analysis; Chinese treasury futures contracts; Arbitrage strategy; High-frequency data; DFA regression (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:443:y:2016:i:c:p:117-127

DOI: 10.1016/j.physa.2015.09.078

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