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Volumn 44, Issue 6, 2011, Pages 355-361

Multifractal Detrended Cross-Correlation Analysis of agricultural futures markets

Author keywords

[No Author keywords available]

Indexed keywords

AGRICULTURAL ROBOTS; AGRICULTURE; COMMERCE; FRACTALS;

EID: 79957696620     PISSN: 09600779     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.chaos.2010.11.005     Document Type: Article
Times cited : (134)

References (12)
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    • (1997) Journal of Futures Markets , vol.17 , Issue.4 , pp. 433-473
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  • 2
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    • Are commodity prices chaotic?
    • DOI 10.1016/S0169-5150(02)00029-4, PII S0169515002000294
    • A. Chatrath, B. Adrangi, and K.K. Dhanda Are commodity prices chaotic? Agricult Econom 27 2002 123 137 (Pubitemid 34825017)
    • (2002) Agricultural Economics , vol.27 , Issue.2 , pp. 123-137
    • Chatrath, A.1    Adrangi, B.2    Dhanda, K.K.3
  • 3
    • 73449125759 scopus 로고    scopus 로고
    • Multifractal spectrum analysis of nonlinear dynamical mechanisms in China's agricultural futures markets
    • S.-P. Chen, and L.-Y. He Multifractal spectrum analysis of nonlinear dynamical mechanisms in China's agricultural futures markets Physica A 389 2010 1434 1444
    • (2010) Physica A , vol.389 , pp. 1434-1444
    • Chen, S.-P.1    He, L.-Y.2
  • 4
    • 77955303523 scopus 로고    scopus 로고
    • Are developed and emerging agricultural futures markets multifractal? A comparative perspective
    • L.-Y. He, and S.-P. Chen Are developed and emerging agricultural futures markets multifractal? A comparative perspective Physica A 389 2010 3828 3836
    • (2010) Physica A , vol.389 , pp. 3828-3836
    • He, L.-Y.1    Chen, S.-P.2
  • 6
    • 33745609259 scopus 로고    scopus 로고
    • Understanding volatility correlation behavior with a magnitude cross-correlation function
    • W.C. Jun, G. Oh, and S. Kim Understanding volatility correlation behavior with a magnitude cross-correlation function Phys Rev E 73 2006 066128
    • (2006) Phys Rev e , vol.73 , pp. 066128
    • Jun, W.C.1    Oh, G.2    Kim, S.3
  • 7
    • 40849127187 scopus 로고    scopus 로고
    • Detrended cross-correlation analysis: A new method for analyzing two nonstationary time series
    • B. Podobnik, and H.E. Stanley Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series Phys Rev Lett 100 2008 084102
    • (2008) Phys Rev Lett , vol.100 , pp. 084102
    • Podobnik, B.1    Stanley, H.E.2
  • 8
    • 70350062737 scopus 로고    scopus 로고
    • Quantifying cross-correlations using local and global detrending approaches
    • B. Podobnik Quantifying cross-correlations using local and global detrending approaches Eur Phys J B 71 2009 243 250
    • (2009) Eur Phys J B , vol.71 , pp. 243-250
    • Podobnik, B.1
  • 9
    • 76049101093 scopus 로고    scopus 로고
    • Cross-correlations between volume change and price change
    • B. Podobnik Cross-correlations between volume change and price change PNAS 106 2009 22079 22084
    • (2009) PNAS , vol.106 , pp. 22079-22084
    • Podobnik, B.1
  • 10
    • 45849138178 scopus 로고    scopus 로고
    • Multifractal detrended cross-correlation analysis for two nonstationary signals
    • W.-X. Zhou Multifractal detrended cross-correlation analysis for two nonstationary signals Phys Rev E 77 2008 066211
    • (2008) Phys Rev e , vol.77 , pp. 066211
    • Zhou, W.-X.1
  • 11
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    • Multifractal detrended cross-correlation analysis of temporal and spatial seismic data
    • S. Shadkhoo, and G.R. Jafari Multifractal detrended cross-correlation analysis of temporal and spatial seismic data Eur Phys J B - Conden Matt Complex Syst 72 2009 679 683
    • (2009) Eur Phys J B - Conden Matt Complex Syst , vol.72 , pp. 679-683
    • Shadkhoo, S.1    Jafari, G.R.2
  • 12
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    • Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market
    • L.-Y. He, and F. Zheng Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market Fractals 18 2010 87 99
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.