Multifractal detrended cross-correlation between the Chinese domestic and international gold markets based on DCCA and DMCA methods

摘要

Based on the daily price data of Shanghai and London gold spot markets, we applied detrended cross-correlation analysis (DCCA) and'detrended moving average cross- correlation, analysis (DMCA) methods to quantify power-law cross-correlation between domestic and international gold markets. Results show that the cross-correlations between the Chinese domestic and international gold spot markets are multifractal. Furthermore, forward DMCA and backward DMCA seems to outperform DCCA and centered DMCA for short-range gold series, which confirms the comparison results of short-range artificial data in L. Y. He and S. P. Chen [Physica A 390 (2011) 3806- 3814]. Finally, we analyzed the local multifractal characteristics of the cross-correlation between Chinese domestic and international gold markets. We show that multifractal characteristics of the cross-correlation between the Chinese domestic and international gold markets are time-varying and that multi fractal characteristics were strengthened by the financial crisis in 2007-2008.