Journal
CHAOS SOLITONS & FRACTALS
Volume 44, Issue 6, Pages 355-361Publisher
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.chaos.2010.11.005
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Funding
- Program for New Century Excellent Talents in University
- National Natural Science Foundation of China [71001101]
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We investigated geographically far but temporally correlated China's and US agricultural futures markets. We found that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the markets. It is very interesting that the geographically far markets show strong cross-correlations and share much of their multifractal structure. Furthermore, we found that for all the agricultural futures markets in our studies, the cross-correlation exponent is less than the averaged generalized Hurst exponents (GHE) when q < 0 and greater than the averaged GHE when q > 0. (C) 2011 Elsevier Ltd. All rights reserved.
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