Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices

ABSTRACT

We compute the auto-correlations and cross-correlations of the volatility time series of the Argentina MERVAL Index (the Buenos Aires Stock Exchange main index) and three agricultural commodities, in a multifractal context using the Detrended Cross-Correlation Analysis [12]. We observe a clear increase of the cross-correlations between the Merval series and the grain quotations which can be ascribed to a stronger coupling between the agricultural sector and the rest of the Argentinian economy. We connect this to fiscal decisions implemented since 2004 and reinforced after 2009.

KEYWORDS:

• Complex systems
• financial time series
• multifractal cross correlation

PACS:

• 05.45.Df (Fractals)
• 43.60.Hj (Time-frequency signal processing
• wavelets)
• 89.75.-k (Complex systems)

Disclosure statement

No potential conflict of interest was reported by the authors.