Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis-Reference-Cited by-同舟云学术

Nonlinear bivariate dependency of price–volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

Published:2011-01 Issue:2 Volume:390 Page:297-308
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

He Ling-Yun,Chen Shu-Peng

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference24 articles.

1. The price variability-volume relationship on speculative markets;Tauchen;Econometrica,1983

2. Price–volume relation in stocks: a multiple time series analysis on the Singapore market;CHAN;Asia-Pacific Journal of Management,1993

3. An examination of the price–volume relationship in the option markets international research;Long;Journal of Finance and Economics,2007

4. Cross-correlations between volume change and price change;Podobnik;Proceedings of the National Academy of Sciences of the United States of America,2009

5. Searching for fractal structure in agricultural futures markets;Corazza;Journal of Futures Markets,1997

Cited by 114 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Cross-correlation and multifractality analysis of the Chinese and American stock markets based on the MF-DCCA model;Heliyon;2024-09

2. Analysis of Indian Foreign Exchange Markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) Approach;International Journal of Empirical Economics;2024-06-28

3. An Econophysics Perspective on Green Bonds and Stock Market Nexus: Can Green Finance be an Investment Option for Emerging Stock Markets?;Fluctuation and Noise Letters;2024-03-11

4. Nowcasting directional change in high frequency FX markets;Intelligent Systems in Accounting, Finance and Management;2024-03

5. Multifractal Detrended Cross-Correlations between Green Bonds and Commodity Markets: An Exploration of the Complex Connections between Green Finance and Commodities from the Econophysics Perspective;Fractal and Fractional;2024-02-15