Exploring the Asymmetric Multifractal Characteristics of Price–Volume Cross-Correlation in the Chinese Rebar Futures Market Based on MF-ADCCA

Abstract

In this paper, we employ multifractal detrended cross-correlation analysis (MF-DCCA) to study the cross-correlation between closing price and trading volume and the multifractal characteristics of the relationship. The results show that the price, volume and price–volume cross-correlation in the rebar futures market have significant multifractal features. We find that the multifractal characteristics of price–volume cross-correlation are derived from long-term correlation and fat-tailed distribution. However, MF-DCCA cannot be used to explore the price–volume cross-correlation under different market trends (upwards or downwards). Therefore, we further adopt multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) to explore the asymmetric multifractal characteristics of price–volume cross-correlation. The empirical results show that the price–volume cross-correlation in the rebar futures market has significant asymmetric multifractality. Specifically, the asymmetry of the price–volume cross-correlation is more robust for both the price changes and the volume changes in a downtrend than that in an uptrend, indicating that the downward market tends to be more complex and riskier than the upward market in Shanghai Futures Exchange (SHFE) rebar futures market. Therefore, investors should pay extra attention to the downward market of the rebar futures and make reasonable investment strategies according to their risk appetite.