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Search name	Searched On	Run search
[in Journal: Journal of Micromechanics and Molecular Physics] AND [Keyword: Delamin... (1)	28 Mar 2025	Run
[in Journal: International Journal of Bifurcation and Chaos] AND [Keyword: Multifra... (1)	28 Mar 2025	Run
[in Journal: Asia-Pacific Biotech News] AND [Keyword: Human Health] (4)	28 Mar 2025	Run
[in Journal: The American Journal of Chinese Medicine] AND [Keyword: Human Health] (1)	28 Mar 2025	Run
[in Journal: Journal of Nonlinear Mathematical Physics] AND [Keyword: Normal Forms] (1)	28 Mar 2025	Run

articleNo Access
Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System
- Hongli Niu and
- Jun Wang
International Journal of Bifurcation and Chaos01 Feb 2016
Preview Abstract
We establish a financial price process by continuum percolation system, in which we attribute price fluctuations to the investors’ attitudes towards the financial market, and consider the clusters in continuum percolation as the investors share the same investment opinion. We investigate the cross-correlations in two return time series, and analyze the multifractal behaviors in this relationship. Further, we study the corresponding behaviors for the real stock indexes of SSE and HSI as well as the liquid stocks pair of SPD and PAB by comparison. To quantify the multifractality in cross-correlation relationship, we employ multifractal detrended cross-correlation analysis method to perform an empirical research for the simulation data and the real markets data.

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