Time And Spacial Correlation Of Chinese And Western Financial Markets And Research Of DFA Method

Econphysics is founded in 1990s when physicists applied concepts and methods in physics to the study of financial time series. Different models and theoretical approaches have been developed to describe the features of the financial dynamics recently. In this paper, we describes the history and significance of econphysics firstly. Next, we introduce the spacial correlation of financial systems, methods of the random matrix theory (RMT), and the cross-correlation matrix of SSE. Different from western markets, the effect of the standard business sectors is weaker, but there are several unusual sectors and subsectors. Third, we review the leverage effect of German DAX and the anti-leverage effect of Shanghai Index. It is shown that both the leverage effect in German markets and the anti-leverage effect in Chinese markets arises from a kind of feedback return-volatility interactions. Finally, we compute the volatility distribution, autocorrelation function and volatility DFA function of Chinese stocks. We analyze the long-range time correlation through calculating the autocorrelation function and the DFA analysis. We find min-data of Chinese Stocks has long-range time correlation, but the scale relation of DFA theory is not kept. The dynamics of the single stock is similar to the Index.