Exploring the Asymmetric Multifractal Characteristics of Price–Volume Cross-Correlation in the Chinese Rebar Futures Market Based on MF-ADCCA

Abstract

In this paper, we employ multifractal detrended cross-correlation analysis (MF-DCCA) to study the cross-correlation between closing price and trading volume and the multifractal characteristics of the relationship. The results show that the price, volume and price–volume cross-correlation in the rebar futures market have significant multifractal features. We find that the multifractal characteristics of price–volume cross-correlation are derived from long-term correlation and fat-tailed distribution. However, MF-DCCA cannot be used to explore the price–volume cross-correlation under different market trends (upwards or downwards). Therefore, we further adopt multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) to explore the asymmetric multifractal characteristics of price–volume cross-correlation. The empirical results show that the price–volume cross-correlation in the rebar futures market has significant asymmetric multifractality. Specifically, the asymmetry of the price–volume cross-correlation is more robust for both the price changes and the volume changes in a downtrend than that in an uptrend, indicating that the downward market tends to be more complex and riskier than the upward market in Shanghai Futures Exchange (SHFE) rebar futures market. Therefore, investors should pay extra attention to the downward market of the rebar futures and make reasonable investment strategies according to their risk appetite.

Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective

“…The econophysics literature has investigated multifractal cross-correlations in various financial markets. Examples of these research areas include the stock market [30,31], crude oil [32,33], cryptocurrencies [34][35][36], energy market [37,38], bond market [39], precious metals [40], and green bonds [41].…”

“…Furthermore, Yang et al [39] provided additional evidence of the multifractality of financial markets by studying the treasury bond market in China. On the commodity market side, Wang et al [40] demonstrated multifractality in the Chinese Rebar market using asymmetric MFDCCA, revealing complex structures. Fernandes et al [41] used MFDCCA to examine multifractal cross-correlations between green bonds and sector equity/bond indices in the U.S.…”