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In this paper, we employ the multifractal detrended cross-correlation analysis (MF-DCCA) as the measurement instrument for the dynamic cross-correlation inspection between US economic policy uncertainty (EPU) index and US dollar exchange rate return (Ret). By calculating the cross-correlation statistics, we find mild acceptance of cross-correlation between EPU and Ret qualitatively. With further application of MF-DCCA methodology, we find strong power law cross-correlation existence within all scaling orders. Also, apparent persistence of cross-correlation has been discovered with significant Hurst exponents of all orders. Besides, we find that long-term cross-correlation demonstrates more persistence and higher degree of multifractality than those in the short term. Finally, we utilize the rolling window and binominal measurement analysis as revisits of the model. The results are consistent with model statements.

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This study investigated the dynamics between tick size and market quality using an agent-based multiple-order-book stock-market model. Given the multiple-order-book setting, we integrated the model with small-, medium-, and large-cap stocks and conducted the analysis from both a tick-size-series and cross-sectional perspective. The simulation results showed that small-cap stocks were of the lowest quality. Furthermore, quality was generally weakened as tick-size value increased, with expanded bid-ask spreads, elevated market volatility, and reduced market efficiency.