Knowledge Management System of Institute of Theoretical Physics, CAS
| Multifractal Properties of Interest Rates in Bond Market | |
Wang, ZX; Yan, Y1; Chen, XS
| |
| 2016 | |
| Conference Name | 4th International Conference on Information Technology and Quantitative Management (ITQM) - Promoting Business Analytics and Quantitative Management of Technology |
| Source Publication | PROMOTING BUSINESS ANALYTICS AND QUANTITATIVE MANAGEMENT OF TECHNOLOGY: 4TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2016) |
| Volume | 91 |
| Pages | 432-441 |
| Conference Date | AUG 16-18, 2016 |
| Conference Place | Asan, SOUTH KOREA |
| Publication Place | AMSTERDAM |
| ISSN | 1877-0509 |
| Publisher | ELSEVIER SCIENCE BV |
| Abstract | In 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. |
| DOI | 10.1016/j.procs.2016.07.116 |
| URL | 查看原文 |
| Indexed By | CPCI |
| Language | 英语 |
| WOS Research Area | Business & Economics ; Computer Science ; Operations Research & Management Science |
| WOS Subject | Business ; Computer Science, Interdisciplinary Applications ; Management ; Operations Research & Management Science |
| Citation statistics | |
| Document Type | 会议论文 |
| Identifier | http://ir.itp.ac.cn/handle/311006/23565 |
| Collection | SCI会议论文 |
| Affiliation | 1.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. |
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