MULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS OF CHINESE STOCK MARKETS BASED ON TIME DELAY

Multifractal detrended cross-correlation analysis (MF-DXA) has been developed to detect the long-range power-law cross-correlation of two simultaneous series. However, the synchronization of underlying data can not be guaranteed integrated by a variety of factors. We artificially imbed a time delay in considered series and study its influence on the multifractal cross-correlation analysis. Time delay is found to affect the multifractal characterization, where a larger time delay causes a weaker multifractality. We also propose an alternative modification on MF-DXA to make the process more robust. The logarithmic return and volatility of Chinese stock indices show cross-correlation scaling behavior and strong multifractality by MF-DXA as well as singularity spectrum analysis.