Cross-correlations between agricultural commodity futures markets in the US and China
Cross-correlations between agricultural commodity futures markets in the US and China
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中美农产品期货市场的互相关性
DOI：
10.1016/j.physa.2012.02.029
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发表时间：
2012-08
期刊：
影响因子：
--
通讯作者：
Zhihui Li
中科院分区：
文献类型：
--
作者：
Xinsheng Lu;Zhihui Li
本文采用相互关联统计检验和多重分形去趋势相互关联分析（MF-DCCA）对中美农产品期货市场的相互关联特性进行了检验。结果表明，4对重要农产品期货的地理位置较远的两个市场之间的相互关系具有显著的多重分形特征。通过引入“交叉”的概念，我们发现两个市场之间相互关联的多重分形并不持久。短期内的相互关系具有较强的多重分形，但长期的相互关系较弱。此外，小波动的相互关系在短期内具有持续性，大波动的相互关系在短期内具有反持续性；大豆和豆粕期货的各种波动相互关系在长期内具有持续性，玉米和小麦期货的各种波动相互关系在长期内具有反持续性。我们还发现，当q<0时，相互关联指数在短期内小于平均广义Hurst指数，而在q>时，相互关联指数大于平均广义Hurst指数，而在长期内它们几乎相同。
This paper examines the cross-correlation properties of agricultural futures markets between the US and China using a cross-correlation statistic test and multifractal detrended cross-correlation analysis (MF-DCCA). The results show that the cross-correlations between the two geographically distant markets for four pairs of important agricultural commodities futures are significantly multifractal. By introducing the concept of a “crossover”, we find that the multifractality of cross-correlations between the two markets is not long lasting. The cross-correlations in the short term are more strongly multifractal, but they are weakly so in the long term. Moreover, cross-correlations of small fluctuations are persistent and those of large fluctuations are anti-persistent in the short term while cross-correlations of all kinds of fluctuations for soy bean and soy meal futures are persistent and for corn and wheat futures are anti-persistent in the long term. We also find that cross-correlation exponents are less than the averaged generalized Hurst exponent when q<0 and more than the averaged generalized Hurst exponent when q>0 in the short term, while in the long term they are almost the same.
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使用多重分形去趋势波动分析测量股价波动的多重分形
DOI：
10.1016/j.physa.2009.02.026
发表时间：
2009-06
影响因子：
3.3
作者：
Yuan Ying;Jin Xiu;Zhuang Xin-tian
通讯作者：
Zhuang Xin-tian
影响因子：
12.8
作者：
Tabak, Benjamin M.;Cajueiro, Daniel O.
通讯作者：
Cajueiro, Daniel O.
影响因子：
12.8
作者：
Wang, Yudong;Liu, Li
通讯作者：
Liu, Li
DOI：
10.1016/j.physa.2009.12.009
发表时间：
2010-04
影响因子：
3.3
作者：
Shu-Peng Chen;Ling-Yun He
通讯作者：
Shu-Peng Chen;Ling-Yun He
DOI：
10.1016/j.physa.2008.01.062
发表时间：
2008-06-15
影响因子：
3.3
作者：
Podobnik, Boris;Horvatic, Davor;Ivanov, Plamen Ch.
通讯作者：
Ivanov, Plamen Ch.