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Memory effect and multifractality of cross-correlations in financial markets
Econophysics Stock market
2010/10/20
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 mark...
Finite-size effect and the components of multifractality in financial volatility
Finite-size effect components of multifractality financial volatility
2010/11/3
Many financial variables are found to exhibit multifractal nature, which is usually attributed
to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF).Based...