Nonlinear bivariate dependency of pricevolume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Physica A: Statistical Mechanics and its Applications

Volumn 390, Issue 2, 2010, Pages 297-308

  He, Ling Yun ^a   Chen, Shu Peng ^a  

^a CHINA AGRICULTURAL UNIVERSITY   (China)

Author keywords

Agricultural commodity futures market; Multifractal Detrended Cross Correlation Analysis; Multifractality; Nonlinear bivariate dependency

Indexed keywords

AGRICULTURAL ROBOTS; AGRICULTURE; COMMERCE; CORRELATION METHODS; ELECTRONIC TRADING; FRACTALS; NONLINEAR ANALYSIS; TIME SERIES; TIME SERIES ANALYSIS;

AGRICULTURAL COMMODITY FUTURES; BIVARIATE; DETRENDED CROSS-CORRELATION ANALYSIS; GENERALIZED HURST EXPONENT; MULTIFRACTAL DETRENDED CROSS CORRELATION ANALYSIS (MF DCCA); MULTIFRACTALITY; NONLINEAR DEPENDENCIES; PRICE-VOLUME RELATIONSHIPS;

FINANCIAL MARKETS;

EID: 78649325837     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.09.018     Document Type: Article

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