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Multifractal detrended cross-correlation analysis for two nonstationary signals

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  • Wei-Xing Zhou

    (ECUST)

Abstract

It 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.

Suggested Citation

  • Wei-Xing Zhou, 2008. "Multifractal detrended cross-correlation analysis for two nonstationary signals," Papers 0803.2773, arXiv.org.
  • Handle: RePEc:arx:papers:0803.2773
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    File URL: http://arxiv.org/pdf/0803.2773
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