IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v502y2018icp605-612.html
   My bibliography  Save this article

Multifractal detrended cross-correlation analysis on NO, NO2 and O3 concentrations at traffic sites

Author

Listed:
  • Xu, Weijia
  • Liu, Chunqiong
  • Shi, Kai
  • Liu, Yonghong

Abstract

NOX plays the important role for O3 production in atmospheric photochemical processes. In this paper, the cross-correlations between NO (NO2) and O3 at three traffic sites in Hong Kong are investigated, using the multifractal detrended cross-correlation analysis (MFDCCA). The results show that the cross-correlations between NO (NO2) and O3 have multifractal nature and long term persistent power-law decaying behavior. The sources of multifractality are discussed based on the shuffling and phase randomization procedure. The chi square test is applied to identify the contributions degree of NO and NO2 to multifractality due to its own long term correlations respectively. And the temporal evolutions of the local contributions degree of NO and NO2 to multifractality are investigated by the sliding windows method. The differences between them are explained by the self-organized criticality mechanism of air pollution, combined with global solar radiation. MFDCCA provides a helpful approach for understanding the quantitative relationship between the O3 and its precursors.

Suggested Citation

  • Xu, Weijia & Liu, Chunqiong & Shi, Kai & Liu, Yonghong, 2018. "Multifractal detrended cross-correlation analysis on NO, NO2 and O3 concentrations at traffic sites," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 605-612.
  • Handle: RePEc:eee:phsmap:v:502:y:2018:i:c:p:605-612
    DOI: 10.1016/j.physa.2018.02.114
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437118302085
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2018.02.114?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. B. Podobnik & I. Grosse & D. Horvatić & S. Ilic & P. Ch. Ivanov & H. E. Stanley, 2009. "Quantifying cross-correlations using local and global detrending approaches," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 71(2), pages 243-250, September.
    2. Gvozdanovic, Igor & Podobnik, Boris & Wang, Duan & Eugene Stanley, H., 2012. "1/f behavior in cross-correlations between absolute returns in a US market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2860-2866.
    3. Wei-Xing Zhou, 2008. "Multifractal detrended cross-correlation analysis for two nonstationary signals," Papers 0803.2773, arXiv.org.
    4. Kantelhardt, Jan W. & Rybski, Diego & Zschiegner, Stephan A. & Braun, Peter & Koscielny-Bunde, Eva & Livina, Valerie & Havlin, Shlomo & Bunde, Armin, 2003. "Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 330(1), pages 240-245.
    5. Shang, Pengjian & Lu, Yongbo & Kamae, Santi, 2008. "Detecting long-range correlations of traffic time series with multifractal detrended fluctuation analysis," Chaos, Solitons & Fractals, Elsevier, vol. 36(1), pages 82-90.
    6. Zhang, Chen & Ni, Zhiwei & Ni, Liping, 2015. "Multifractal detrended cross-correlation analysis between PM2.5 and meteorological factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 114-123.
    7. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
    8. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    2. Liu, Chao & Zheng, Ying & Zhao, Qi & Wang, Chao, 2020. "Financial stability and real estate price fluctuation in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. Zhang, Jiao & Li, Youping & Liu, Chunqiong & Wu, Bo & Shi, Kai, 2022. "A study of cross-correlations between PM2.5 and O3 based on Copula and Multifractal methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    4. Nurulkamal Masseran, 2022. "Multifractal Characteristics on Temporal Maximum of Air Pollution Series," Mathematics, MDPI, vol. 10(20), pages 1-15, October.
    5. Stan, Cristina & Marmureanu, Luminita & Marin, Cristina & Cristescu, Constantin P., 2020. "Investigation of multifractal cross-correlation surfaces of Hurst exponents for some atmospheric pollutants," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ruan, Qingsong & Zhang, Manqian & Lv, Dayong & Yang, Haiquan, 2018. "SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1009-1022.
    2. Manimaran, P. & Narayana, A.C., 2018. "Multifractal detrended cross-correlation analysis on air pollutants of University of Hyderabad Campus, India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 228-235.
    3. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    4. Ghosh, Dipak & Chakraborty, Sayantan & Samanta, Shukla, 2019. "Study of translational effect in Tagore’s Gitanjali using Chaos based Multifractal analysis technique," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1343-1354.
    5. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
    6. Yao, Can-Zhong & Liu, Cheng & Ju, Wei-Jia, 2020. "Multifractal analysis of the WTI crude oil market, US stock market and EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    7. Cai, Yuxin & Lu, Xinsheng & Ren, Yongping & Qu, Ling, 2019. "Exploring the dynamic relationship between crude oil price and implied volatility indices: A MF-DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    8. Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
    9. Ruan, Qingsong & Bao, Junjie & Zhang, Manqian & Fan, Limin, 2019. "The effects of exchange rate regime reform on RMB markets: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 122-134.
    10. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
    11. Qin, Jing & Ge, Jintian & Lu, Xinsheng, 2018. "The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 1026-1037.
    12. Kristjanpoller, Werner & Bouri, Elie, 2019. "Asymmetric multifractal cross-correlations between the main world currencies and the main cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1057-1071.
    13. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
    14. Chatterjee, Sucharita, 2020. "Analysis of the human gait rhythm in Neurodegenerative disease: A multifractal approach using Multifractal detrended cross correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    15. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    16. El Alaoui, Marwane, 2017. "Price–volume multifractal analysis of the Moroccan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 473-485.
    17. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
    18. Zhai, Lu-Sheng & Liu, Ruo-Yu, 2019. "Local detrended cross-correlation analysis for non-stationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 222-233.
    19. Li, Shuping & Lu, Xinsheng & Li, Jianfeng, 2021. "Cross-correlations between the P2P interest rate, Shibor and treasury yields," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    20. Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:502:y:2018:i:c:p:605-612. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.