Based on the asymmetric multifractal detrending cross-correlation analysis (MF-ADCCA) method and the multifractal cross-correlation analysis (MFCCA) method, we propose a new method-the asymmetric multifractal cross-correlation analysis (MF-ACCA) method. The simulation results show that the algorithm can describe the asymmetric multifractal characteristics of two time series from qualitative and quantitative perspectives and we compare the MF-ACCA method and the MF-ADCCA method by using Binary ARFIMA model. In addition, the MF-ACCA method is used to analyze the asymmetric cross-correlation relationships among energy markets with different trends. We confirm that when a market experiences large fluctuations, the overall energy market in China ex-hibits multifractal characteristics, and the multifractal cross-correlations among energy markets are asymmetric. (C) 2022 Elsevier B.V. All rights reserved.
Key words
Energy market/Simulation analysis/Asymmetric/Multifractal/CRUDE-OIL/TIME/EFFICIENT/DYNAMICS/GOLD
NSTL
Elsevier