Multifractal Properties of Interest Rates in Bond Market

doi:10.1016/j.procs.2016.07.116

	Multifractal Properties of Interest Rates in Bond Market
	Wang, ZX ; Yan, Y 2; Chen, XS
	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
内容类型	会议论文
源URL	[http://ir.itp.ac.cn/handle/311006/23565]
专题	SCI会议论文
作者单位	1.Univ Chinese Acad Sci, Sch Management, Grad Univ, Beijing 100080, Peoples R China 2.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Inst Theoret Phys, Beijing 100190, 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.