Multifractal Detrended Cross-Correlation Analysis of Chinese Stocks

摘要

In this paper, we use Multifractal Detrended Cross-Correlation Analysis(MF-DXA) method to investigate the cross-correlation of Chinese stocks, which expected to be correlated. The mentioned data are high frequency data recorded every 15s during 2009. We analyze the Shanghai Composite Index (SHCI) and the Shenzhen Component Index (SZCI), get the cross-correlation exponent 0.60. We determine generalized Hurst exponent and singularity spectrum. Different from former researches, the singularity spectrum is well fitted by an intersection of two parabolas. These results provide solid empirical base for further research of the dynamic mechanism of stock market price series.