Multifractal detrended cross-correlation analysis for two nonstationary signals
AbstractIt is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0803.2773.
Date of creation: Mar 2008
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Publication status: Published in Physical Review E 77 (6), 066211 (2008).
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Web page: http://arxiv.org/
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