Long-range correlation and market segmentation in bond market
文献类型：期刊论文
| 作者 | Yan, Y; Chen, XS ; Yan, Y (reprint author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100080, Peoples R China.; Wang, ZX
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| 刊名 | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
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| 出版日期 | 2017 |
| 卷号 | 482页码:477-485 |
| 关键词 | Long-range Correlation Interest Rates Fractal Market Hypothesis Market Segmentation |
| DOI | http://dx.doi.org/10.1016/j.physa.2017.04.066 |
| 英文摘要 | 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. |
| 学科主题 | Physics |
| 语种 | 英语 |
| 源URL | [http://ir.itp.ac.cn/handle/311006/21966]  |
| 专题 | 理论物理研究所_理论物理所1978-2010年知识产出 |
| 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 | Yan, Y,Chen, XS,Yan, Y ,et al. Long-range correlation and market segmentation in bond market[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2017,482:477-485. |
| APA | Yan, Y,Chen, XS,Yan, Y ,&Wang, ZX.(2017).Long-range correlation and market segmentation in bond market.PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,482,477-485. |
| MLA | Yan, Y,et al."Long-range correlation and market segmentation in bond market".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 482(2017):477-485. |
入库方式： OAI收割
来源：理论物理研究所
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