Multifractal Properties of Interest Rates in Bond Market
文献类型：会议论文
| 作者 | Wang, ZX; Yan, Y1; Chen, XS
|
| 出版日期 | 2016 |
| 会议日期 | AUG 16-18, 2016 |
| 会议地点 | Asan, SOUTH KOREA |
| 卷号 | 91 |
| DOI | 10.1016/j.procs.2016.07.116 |
| 页码 | 432-441 |
| 英文摘要 | 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. |
| 会议录 | PROMOTING BUSINESS ANALYTICS AND QUANTITATIVE MANAGEMENT OF TECHNOLOGY: 4TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2016)
 |
| 会议录出版者 | ELSEVIER SCIENCE BV |
| 会议录出版地 | AMSTERDAM |
| 语种 | 英语 |
| URL标识 | 查看原文 |
| ISSN号 | 1877-0509 |
| WOS研究方向 | Business & Economics ; Computer Science ; Operations Research & Management Science |
| 源URL | [http://ir.itp.ac.cn/handle/311006/23565]  |
| 专题 | SCI会议论文 |
| 作者单位 | 1.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Sch Management, Grad Univ, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wang, ZX,Yan, Y,Chen, XS. Multifractal Properties of Interest Rates in Bond Market[C]. 见:. Asan, SOUTH KOREA. AUG 16-18, 2016. |
入库方式： OAI收割
来源：理论物理研究所
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