Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System
Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System
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DOI：
10.1142/s0218127416300044
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发表时间：
2016-03
期刊：
影响因子：
--
通讯作者：
Hongli Niu;J. Wang
中科院分区：
文献类型：
--
作者：
Hongli Niu;J. Wang
We establish a financial price process by continuum percolation system, in which we attribute price fluctuations to the investors’ attitudes towards the financial market, and consider the clusters in continuum percolation as the investors share the same investment opinion. We investigate the cross-correlations in two return time series, and analyze the multifractal behaviors in this relationship. Further, we study the corresponding behaviors for the real stock indexes of SSE and HSI as well as the liquid stocks pair of SPD and PAB by comparison. To quantify the multifractality in cross-correlation relationship, we employ multifractal detrended cross-correlation analysis method to perform an empirical research for the simulation data and the real markets data.
