ITP OpenIR  > SCI会议论文
Multifractal Properties of Interest Rates in Bond Market
Wang, ZX; Yan, Y1; Chen, XS
2016
Conference Name4th International Conference on Information Technology and Quantitative Management (ITQM) - Promoting Business Analytics and Quantitative Management of Technology
Source PublicationPROMOTING BUSINESS ANALYTICS AND QUANTITATIVE MANAGEMENT OF TECHNOLOGY: 4TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2016)
Volume91
Pages432-441
Conference DateAUG 16-18, 2016
Conference PlaceAsan, SOUTH KOREA
Publication PlaceAMSTERDAM
ISSN1877-0509
PublisherELSEVIER SCIENCE BV
AbstractIn the article, we investigated the multifractal properties of interest rates, which are the core variables in bond market. In a large sample including nearly all the interest rates in China bond market, we found a clear empirical evidence of long-range correlations and multifractality. Furthermore, by tracking the shape of multifractal spectra, we found the dynamics of large price fluctuation is significantly different from that of the small ones, and the spectrum widths of interest rates are related the maturity terms and market development stage. Finally, we destroyed the long-range memories by shuffle the data to detect the underlying mechanisms of multifractality and identified the non-linear temporal correlation to be the major cause. (C) 2016 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license.
DOI10.1016/j.procs.2016.07.116
URL查看原文
Indexed ByCPCI
Language英语
WOS Research AreaBusiness & Economics ; Computer Science ; Operations Research & Management Science
WOS SubjectBusiness ; Computer Science, Interdisciplinary Applications ; Management ; Operations Research & Management Science
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type会议论文
Identifierhttp://ir.itp.ac.cn/handle/311006/23565
CollectionSCI会议论文
Affiliation1.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Management, Grad Univ, Beijing 100080, Peoples R China
3.Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Wang, ZX,Yan, Y,Chen, XS. Multifractal Properties of Interest Rates in Bond Market[C]. AMSTERDAM:ELSEVIER SCIENCE BV,2016:432-441.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Wang, ZX]'s Articles
[Yan, Y]'s Articles
[Chen, XS]'s Articles
Baidu academic
Similar articles in Baidu academic
[Wang, ZX]'s Articles
[Yan, Y]'s Articles
[Chen, XS]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Wang, ZX]'s Articles
[Yan, Y]'s Articles
[Chen, XS]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.