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- W4280493077 abstract "Recently, many studies prove that financial markets are characterized by multifractality. Therefore, under the framework of fractal market hypothesis, this paper uses multifractal detrended cross-correlation analysis (MF-DCCA), a method used to reveal the multifractal properties in the power-law cross-correlations between two non-stationary time series, to investigate the nonlinear correlations between China and West Texas Intermediate (WTI) crude oil futures prices. Based on data from March 26, 2018, the first launch day of crude oil futures in China, we find that the time series of the Shanghai International Energy Exchange (INE) crude oil futures prices and WTI crude oil futures prices are highly cross-correlated with multifractal properties. Moreover, there is a persistent cross-correlation between INE crude oil futures prices and WTI crude oil futures prices." @default.
- W4280493077 created "2022-05-22" @default.
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- W4280493077 date "2022-05-17" @default.
- W4280493077 modified "2023-09-27" @default.
- W4280493077 title "Multifractal analysis on the cross-correlation between China and WTI crude oil futures prices" @default.
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- W4280493077 doi "https://doi.org/10.1117/12.2638808" @default.
- W4280493077 hasPublicationYear "2022" @default.
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