ITP OpenIR  > SCI期刊论文
Wang, ZX; Yan, Y; Chen, XS; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.
Long-range correlation and market segmentation in bond market
Source PublicationPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Language英语
KeywordLong-range Correlation Interest Rates Fractal Market Hypothesis Market Segmentation
AbstractThis 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.
2017
Volume482Pages:477-485
Subject AreaPhysics
DOIhttp://dx.doi.org/10.1016/j.physa.2017.04.066
Funding OrganizationNational 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
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Document Type期刊论文
Identifierhttp://ir.itp.ac.cn/handle/311006/21966
CollectionSCI期刊论文
Corresponding AuthorYan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.
Recommended Citation
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.
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