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Memory effect and multifractality of cross-correlations in financial markets

Author

Listed:
  • Tian Qiu
  • Guang Chen
  • Li-Xin Zhong
  • Xiao-Wei Lei

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.

Suggested Citation

  • Tian Qiu & Guang Chen & Li-Xin Zhong & Xiao-Wei Lei, 2010. "Memory effect and multifractality of cross-correlations in financial markets," Papers 1004.5547, arXiv.org.
    • Handle: RePEc:arx:papers:1004.5547
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    File URL: http://arxiv.org/pdf/1004.5547
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    Cited by:

    1. Lisa Borland & Yoan Hassid, 2010. "Market panic on different time-scales," Papers 1010.4917, arXiv.org.

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