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JACIII Vol.24 No.3 pp. 282-292
doi: 10.20965/jaciii.2020.p0282
(2020)

Paper:

Asymmetric Multifractal Analysis of Rebar Futures and Spot Market in China

Qiaoyan Zhang, Lixian Wang, Shang Jin, Xiaozhen Hao, and Zhenlong Chen

School of Statistics and Mathematics, Zhejiang Gongshang University
No.18 Xuezheng Street, Xiasha University Town, Hangzhou, Zhejiang 310018, China

Corresponding author

Received:
October 25, 2019
Accepted:
January 12, 2020
Published:
May 20, 2020
Keywords:
wavelet denoising, overlapping smooth window, A-MMDCCA, asymmetric multifractal, rebar market
Abstract
Asymmetric Multifractal Analysis of Rebar Futures and Spot Market in China

Local Hurst surface

In this study, a wavelet denoising method is first used to eliminate the influence of noise. Then, an overlapping smooth window technique is introduced into the asymmetric multifractal detrended cross-correlation analysis method, which was combined with the multiscale multifractal analysis method, resulting in the proposed asymmetric multiscale multifractal detrended cross-correlation analysis method. This method not only remedies the pseudo-fluctuation defect of the traditional method, but also explores the asymmetric multifractal cross-correlation between China’s rebar futures and spot markets at different scales. The results show the existence of an asymmetric multifractal cross-correlation between rebar futures and spot markets with upward and downward trends at different scales. This cross-correlation is highly complex at the small-scale, and more pronounced when the futures market is in an uptrend.

Cite this article as:
Q. Zhang, L. Wang, S. Jin, X. Hao, and Z. Chen, “Asymmetric Multifractal Analysis of Rebar Futures and Spot Market in China,” J. Adv. Comput. Intell. Intell. Inform., Vol.24, No.3, pp. 282-292, 2020.
Data files:
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Last updated on Aug. 09, 2020