Multifractal analysis of the multivariate cross-correlation between metal futures and spot markets in China

被引：0
|
作者：
Wang H. [1 ]
Jia N. [1 ]
机构：
[1] School of Applied Mathematics, Nanjing University of Finance & Economics, Nanjing
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2019年 / 39卷 / 09期
关键词：
Basic metal; Futures system; Multifractal analysis; Spot system;
D O I：
10.12011/1000-6788-2018-1340-13
中图分类号：
学科分类号：
摘要：
In this paper, fractal analysis methods are used to study the complexity characteristics of multivariate cross-correlations between the metal futures and spot markets in China. Firstly, the widely used multifractal detrended cross-correlation analysis (MF-DCCA) is extended to multivariate case, and the multivariate multifractal detrended cross-correlation analysis (MV-MFDCCA) is proposed. Then, the daily returns series of the futures and spot markets for China's basic metal copper, aluminum and zinc are regarded as two systems, and the multifractal analysis methods including the MV-MFDCCA are used to empirically investigate the multivariate cross-correlation between the two systems from the perspective of system theory. The results show that there are long-range power law cross-correlations and multifractal characteristics within and between the two systems, and the multifractal strengths of autocorrelations and cross-correlations for the spot system and its components are greater than those of the futures system and its corresponding components. In addition, in the situation of large fluctuations, the cross-correlation between the futures and spot systems is mainly influenced by the relationship between the futures copper and spot copper, while in the small fluctuation situation, mainly influenced by the relationship between the futures zinc and spot zinc. © 2019, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：2203 / 2215
页数：12
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