We propose a new method called the multifractal asymmetric detrended cross-correlation analysis method (MF-ADCCA) to investigate the asymmetric cross-correlations in nonstationary time series that combine the multifractal detrended cross-correlation analysis (MF-DCCA) and asymmetric detrended...

A correct or precise estimation of the Hurst exponent is one of the fundamentally important problems in the financial economics literature. There are three widely used tools to estimate the Hurst exponent, the canonical rescaled range (R/S), the variance rescaled statistic (V/S) and the Modified...

Although there are many reports on the empirical evidence of the existence of multifractality in various financial or commodity markets in current literature, few can be found to compare the multifractal properties of emerging and developed economies, especially for agricultural futures markets...

In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at...

Nonlinear dependency between characteristic financial and commodity market quantities (variables) is crucially important, especially between trading volume and market price. Studies on nonlinear dependency between price and volume can provide practical insights into market trading...

In this article, we investigated the multifractality and its underlying formation mechanisms in international crude oil markets, namely, Brent and WTI, which are the most important oil pricing benchmarks globally. We attempt to find the answers to the following questions: (1) Are those different...

Based on Partition Function and Multifractal Spectrum Analysis, we investigated the nonlinear dynamical mechanisms in China’s agricultural futures markets, namely, Dalian Commodity Exchange (DCE for short) and Zhengzhou Commodity Exchange (ZCE for short), where nearly all agricultural futures...

We proposed a new method: Detrended Moving-average Cross-correlation Analysis (DMCA) to detect the power-law cross-correlation between two correlated non-stationary time series by combining Detrended Cross-Correlation Analysis (DCCA) and Detrended Moving Average (DMA). In order to compare the...