Asymmetric joint multifractal analysis in Chinese stock markets

被引：6
|
作者：
Chen, Yuwen [1 ,2 ]
Zheng, Tingting [1 ]
机构：
[1] Anhui Univ, Sch Math Sci, Hefei 230601, Peoples R China
[2] Univ Sci & Technol China, Sch Management, Hefei 230026, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2017年 / 471卷
关键词：
Asymmetric joint multifractal; Joint multifractal; Multifractal spectrum; Return; Trading volume; CROSS-CORRELATION ANALYSIS; DETRENDED FLUCTUATION ANALYSIS; TIME-SERIES; FUTURES; INDEX; SPOT;
D O I：
10.1016/j.physa.2016.11.052
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper, the asymmetric joint multifractal analysis method based on statistical physics is proposed to explore the asymmetric correlation between daily returns and trading volumes in Chinese stock markets. The result shows asymmetric multifractal correlations exist between return and trading volume in Chinese stock markets. Moreover, when the stock indexes are upward, the fluctuations of returns are always weaker than when they are downward, whether the trading volumes are more or less. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：10 / 19
页数：10
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