ITP OpenIR  > 理论物理所SCI论文
Long-range correlation and market segmentation in bond market
Wang, ZX; Yan, Y; Chen, XS; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.
2017
发表期刊PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷号482页码:477-485
文章类型Article
摘要This paper investigates the long-range auto-correlations and cross-correlations in bond market. Based on Detrended Moving Average (DMA) method, empirical results present a clear evidence of long-range persistence that exists in one year scale. The degree of long-range correlation related to maturities has an upward tendency with a peak in short term. These findings confirm the expectations of fractal market hypothesis (FMH). Furthermore, we have developed a method based on a complex network to study the long-range cross correlation structure and applied it to our data, and found a clear pattern of market segmentation in the long run. We also detected the nature of long-range correlation in the sub-period 2007-2012 and 2011-2016. The result from our research shows that long-range auto-correlations are decreasing in the recent years while long-range cross-correlations are strengthening. (C) 2017 Elsevier B.V. All rights reserved.
关键词Long-range Correlation Interest Rates Fractal Market Hypothesis Market Segmentation
学科领域Physics
资助者National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS
DOIhttp://dx.doi.org/10.1016/j.physa.2017.04.066
关键词[WOS]INTEREST-RATES ; TERM STRUCTURE ; FLUCTUATION ANALYSIS ; MOVING AVERAGE ; DEPENDENCE
语种英语
资助者National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; National Science Foundation of China [71103179, 1121403] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Youth Innovation Promotion Association of CAS [2015359] ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS ; Open Project of Key Laboratory of Big Data Mining and Knowledge Management, CAS
WOS类目Physics, Multidisciplinary
引用统计
文献类型期刊论文
条目标识符http://ir.itp.ac.cn/handle/311006/21966
专题理论物理所SCI论文
通讯作者Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.
推荐引用方式
GB/T 7714
Wang, ZX,Yan, Y,Chen, XS,et al. Long-range correlation and market segmentation in bond market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017,482:477-485.
APA Wang, ZX,Yan, Y,Chen, XS,&Yan, Y .(2017).Long-range correlation and market segmentation in bond market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,482,477-485.
MLA Wang, ZX,et al."Long-range correlation and market segmentation in bond market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 482(2017):477-485.
条目包含的文件
文件名称/大小 文献类型 版本类型 开放类型 使用许可
Long-range correlati(3533KB) 开放获取--请求全文
个性服务
推荐该条目
保存到收藏夹
查看访问统计
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Wang, ZX]的文章
[Yan, Y]的文章
[Chen, XS]的文章
百度学术
百度学术中相似的文章
[Wang, ZX]的文章
[Yan, Y]的文章
[Chen, XS]的文章
必应学术
必应学术中相似的文章
[Wang, ZX]的文章
[Yan, Y]的文章
[Chen, XS]的文章
相关权益政策
暂无数据
收藏/分享
所有评论 (0)
暂无评论
 

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。