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.

Date: 2010-04
New Economics Papers: this item is included in nep-fmk and nep-rmg
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