Asymmetric multifractality in China’s energy market based on improved asymmetric multifractal cross-correlation analysis

Yaoqi Guo, Fengyuan Shi, Zhuling Yu, Shanshan Yao and Hongwei Zhang

Physica A: Statistical Mechanics and its Applications, 2022, vol. 594, issue C

Abstract: Based on the asymmetric multifractal detrending cross-correlation analysis (MF-ADCCA) method and the multifractal cross-correlation analysis (MFCCA) method, we propose a new method—the asymmetric multifractal cross-correlation analysis (MF-ACCA) method. The simulation results show that the algorithm can describe the asymmetric multifractal characteristics of two time series from qualitative and quantitative perspectives and we compare the MF-ACCA method and the MF-ADCCA method by using Binary ARFIMA model. In addition, the MF-ACCA method is used to analyze the asymmetric cross-correlation relationships among energy markets with different trends. We confirm that when a market experiences large fluctuations, the overall energy market in China exhibits multifractal characteristics, and the multifractal cross-correlations among energy markets are asymmetric.

Keywords: Energy market; Simulation analysis; Asymmetric; Multifractal (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000966

DOI: 10.1016/j.physa.2022.127027

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