EconPapers    
Economics at your fingertips  
 

Memory effect and multifractality of cross-correlations in financial markets

Tian Qiu, Guang Chen, Li-Xin Zhong and Xiao-Wei Lei

Papers from arXiv.org

Abstract: An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average instantaneous cross-correlations is investigated over different price return time intervals. Long-range time-correlations are revealed, and are found to persist up to a month-order magnitude of the price return time interval. Multifractal nature is investigated by a multifractal detrended fluctuation analysis.

New Economics Papers: this item is included in nep-fmk and nep-rmg
Date: 2010-04
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1004.5547 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1004.5547

Access Statistics for this paper

More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().

 
Page updated 2017-09-29
Handle: RePEc:arx:papers:1004.5547