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Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations


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  • Ladislav Kristoufek


We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek, T.: Multifractality of self-affine fractals, Physical Review A 44(4), 1991]. The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate a power of the method on both simulated and real-world time series.

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Bibliographic Info

Paper provided by in its series Papers with number 1201.3473.

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Date of creation: Jan 2012
Date of revision: Jan 2012
Publication status: Published in EPL 95, 68001, 2011
Handle: RePEc:arx:papers:1201.3473

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Cited by:
  1. Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046,, revised Aug 2013.
  2. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity," Papers 1203.4979,
  3. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 402(C), pages 291-298.
  4. Kristoufek, Ladislav, 2014. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 406(C), pages 169-175.
  5. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727,, revised Aug 2013.


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