Multifractal analysis on the cross-correlation between China and WTI crude oil futures prices

Dayin Lu; Xiaoqi Yi; Jiarui Zhang

doi:10.1117/12.2638808

17 May 2022 Multifractal analysis on the cross-correlation between China and WTI crude oil futures prices

Dayin Lu, Xiaoqi Yi, Jiarui Zhang

Proceedings Volume 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022); 122594I (2022) https://doi.org/10.1117/12.2638808
Event: 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing, 2022, Kunming, China

Abstract

Recently, many studies prove that financial markets are characterized by multifractality. Therefore, under the framework of fractal market hypothesis, this paper uses multifractal detrended cross-correlation analysis (MF-DCCA), a method used to reveal the multifractal properties in the power-law cross-correlations between two non-stationary time series, to investigate the nonlinear correlations between China and West Texas Intermediate (WTI) crude oil futures prices. Based on data from March 26, 2018, the first launch day of crude oil futures in China, we find that the time series of the Shanghai International Energy Exchange (INE) crude oil futures prices and WTI crude oil futures prices are highly cross-correlated with multifractal properties. Moreover, there is a persistent cross-correlation between INE crude oil futures prices and WTI crude oil futures prices.

Citation Download Citation

Dayin Lu, Xiaoqi Yi, and Jiarui Zhang "Multifractal analysis on the cross-correlation between China and WTI crude oil futures prices", Proc. SPIE 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022), 122594I (17 May 2022); https://doi.org/10.1117/12.2638808

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