Statistical analysis on multifractal detrended cross-correlation coefficient for return interval by oriented percolation

Wei Deng () and Jun Wang
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Wei Deng: Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China
Jun Wang: Institute of Financial Mathematics and Financial Engineering, School of Science, Beijing Jiaotong University, Beijing 100044, P. R. China

International Journal of Modern Physics C (IJMPC), 2015, vol. 26, issue 01, 1-17

Abstract: We investigate and quantify the multifractal detrended cross-correlation of return interval series for Chinese stock markets and a proposed price model, the price model is established by oriented percolation. The return interval describes the waiting time between two successive price volatilities which are above some threshold, the present work is an attempt to quantify the level of multifractal detrended cross-correlation for the return intervals. Further, the concept of MF-DCCA coefficient of return intervals is introduced, and the corresponding empirical research is performed. The empirical results show that the return intervals of SSE and SZSE are weakly positive multifractal power-law cross-correlated, and exhibit the fluctuation patterns of MF-DCCA coefficients. The similar behaviors of return intervals for the price model is also demonstrated.

Keywords: Statistical analysis; return interval; oriented percolation; MF-DCCA analysis; cross-correlation; MF-DCCA coefficient (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0129183115500023

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