Multifractal Analysis On The Cross-correlation Of The China Security Markets

With the gradual improvement of the financial market system in China,the co-movement between the financial markets is also increasing.Since Peters put forward fractal market theory in the 90 s of last century,many studies have shown that the financial market is a nonlinear dynamic complex system with fractal and chaotic structures.In order to better explore the volatility characteristics of complex financial data and reveal the nonlinear dynamic interaction between the markets,we use multifractal theory and the methods to analyze the dynamic cross-correlation of Chinese securities,and detect their formation mechanism and change rule of complex behavior.In this thesis,we select the stock,bond,fund and gold markets in China's security markets as the research objects.The intrinsic fluctuation characteristics of the four markets are studied,and the cross-correlations among the stock,bond and fund markets are quantified from the multifractal perspective.Finally,the relationship between the price and the volume of China's gold spot market and the futures market is analyzed.The structure of this paper is as follows:The first chapter introduces the research background and significance of this work,research status at home and abroad and the research content of this thesis.Innovation points of this thesis are pointed out.The second chapter introduces the MF-DFA method,the MF-DCCA method,the MM-DCCA method and the MF-SA method.All of them are the multifractal anlysis methods applied in this thesis.In the third chapter,we choose the return series of Shanghai Composite Index,Shanghai Bond Index and Shanghai Fund Index as research objects and confirm the existence of multifractal features in the fluctuation of the three markets.Meanwhile,we utilize the MM-DCCA method at different time scales to generate the Hurst surface visualizing the interaction between the three markets.The empirical results show that the cross-correlations among the three markets present different fractal characteristics at different time scales.Besides,the correlation between the stock and fund markets is stronger than that of the other two groups,and the correlation between the stock and bond markets is unstable.In the fourth chapter,we consider the daily price and volume of transaction data of gold spot market and the futures market over a period of time in China.Using cross-correlation test and multifractal detrended cross-correlation analysis,we discuss the price-volume relationship between China's gold spot and futures markets from the perspective of multifractal.The results show that there exists stronger cross-correlation multifractal features between price-volune,and the risk is relatively larger in futures market.The fifth chapter gives a summary and outlook.