基于MF-DCCA的金融市场交叉相关及多重分形研究

Financial Market Cross-correlation and Multi-fractal Features Based on MF-DCCA

文章利用2010年6月21日到2019年1月25日期间我国股票市场、货币市场、外汇市场共2090天的日收盘价数据,采用多重分形去趋势交叉相关分析(MF-DCCA)法研究我国外汇市场、货币市场、股票市场之间的多重分形特征。结果表明,我国外汇市场与股票市场、外汇市场与货币市场、货币市场与股票市场间存在多重分形特征,在小的波动中表现出持续性的特征,在大的波动中表现出反持续性的特征。以上结论将有助于理解我国金融市场之间存在的非线性依赖关系和潜在的动力学机制。

This paper uses the daily closing price of 2090 days in China's stock market,currency market and foreign exchange market from June 21,2010 to January 25,2019,and adopts multi-fractal detrended cross-correlation analysis(MF-DCCA)to study the multi-fractal features between China’s foreign exchange market,currency market and stock market.The results show that there are multi-fractal features between the foreign exchange market and the stock market,the foreign exchange market and money market,the money market and the stock market in China,with the persistence features appearing in the small fluctuations,and the anti-sustainability features in the large fluctuations.The above conclusions will be helpful to understand the nonlinear dependence relationship and the potential dynamic mechanism between China's financial markets.