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Parameter motivated mutual correlation analysis: Application to the study of currency exchange rates based on intermittency parameter and Hurst exponent

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  • Cristescu, Constantin P.
  • Stan, Cristina
  • Scarlat, Eugen I.
  • Minea, Teofil
  • Cristescu, Cristina M.

Abstract

We present a novel method for the parameter oriented analysis of mutual correlation between independent time series or between equivalent structures such as ordered data sets. The proposed method is based on the sliding window technique, defines a new type of correlation measure and can be applied to time series from all domains of science and technology, experimental or simulated. A specific parameter that can characterize the time series is computed for each window and a cross correlation analysis is carried out on the set of values obtained for the time series under investigation. We apply this method to the study of some currency daily exchange rates from the point of view of the Hurst exponent and the intermittency parameter. Interesting correlation relationships are revealed and a tentative crisis prediction is presented.

Suggested Citation

  • Cristescu, Constantin P. & Stan, Cristina & Scarlat, Eugen I. & Minea, Teofil & Cristescu, Cristina M., 2012. "Parameter motivated mutual correlation analysis: Application to the study of currency exchange rates based on intermittency parameter and Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2623-2635.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:8:p:2623-2635
    DOI: 10.1016/j.physa.2011.12.006
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    Cited by:

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    2. Desogus, Marco & Conversano, Claudio & Pili, Ambrogio & Venturi, Beatrice, 2022. "Fractal analysis of Dow Jones Industrial Index returns," MPRA Paper 114923, University Library of Munich, Germany.
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    6. 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.
    7. 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).
    8. Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.

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