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Multifractal detrending moving average cross-correlation analysis

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Cited by:

  1. Yanguang Chen, 2015. "A New Methodology of Spatial Cross-Correlation Analysis," PLOS ONE, Public Library of Science, vol. 10(5), pages 1-20, May.
  2. İşcanoğlu-Çekiç, Ayşegül & Gülteki̇n, Havva, 2019. "Are cross-correlations between Turkish Stock Exchange and three major country indices multifractal or monofractal?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 978-990.
  3. Zebende, G.F. & da Silva Filho, A.M., 2018. "Detrended Multiple Cross-Correlation Coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 91-97.
  4. Robert Gk{e}barowski & Pawe{l} O'swik{e}cimka & Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z, 2019. "Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis," Papers 1906.07491, arXiv.org, revised Oct 2019.
  5. Dong, Keqiang & Zhang, Hong & Gao, You, 2017. "Dynamical mechanism in aero-engine gas path system using minimum spanning tree and detrended cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 363-369.
  6. Cao, Guangxi & Shi, Yingying, 2017. "Simulation analysis of multifractal detrended methods based on the ARFIMA process," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 235-243.
  7. Yue Yang & Changgui Gu & Qin Xiao & Huijie Yang, 2017. "Evolution of scaling behaviors embedded in sentence series from A Story of the Stone," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-14, February.
  8. 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.
  9. Kristoufek, Ladislav, 2015. "Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 194-205.
  10. Yin, Yi & Shang, Pengjian, 2013. "Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6442-6457.
  11. da Silva, Marcus Fernandes & de Area Leão Pereira, Éder Johnson & da Silva Filho, Aloisio Machado & de Castro, Arleys Pereira Nunes & Miranda, José Garcia Vivas & Zebende, Gilney Figueira, 2016. "Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 1-8.
  12. 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.
  13. Jia, Rui-Lin & Wang, Dong-Hua & Tu, Jing-Qing & Li, Sai-Ping, 2016. "Correlation between agricultural markets in dynamic perspective—Evidence from China and the US futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 464(C), pages 83-92.
  14. Xiong, Gang & Zhang, Shuning & Yang, Xiaoniu, 2012. "The fractal energy measurement and the singularity energy spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6347-6361.
  15. Pal, Mayukha & Satish, B. & Srinivas, K. & Rao, P. Madhusudana & Manimaran, P., 2015. "Multifractal detrended cross-correlation analysis of coding and non-coding DNA sequences through chaos-game representation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 596-603.
  16. 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).
  17. Wang, Feng & Ye, Xin & Chen, HongTao & Wu, Congxin, 2021. "A portfolio strategy of stock market based on mean-MF-X-DMA model," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  18. Zhou, Yaping & Lu, Baoqun & Lv, Dayong & Ruan, Qingsong, 2019. "The informativeness of options-trading activities: Non-linear analysis based on MF-DCCA and Granger test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  19. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  20. Kristoufek, Ladislav, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6484-6493.
  21. Zhai, Lu-Sheng & Zong, Yan-Bo & Wang, Hong-Mei & Yan, Cong & Gao, Zhong-Ke & Jin, Ning-De, 2017. "Characterization of flow pattern transitions for horizontal liquid–liquid pipe flows by using multi-scale distribution entropy in coupled 3D phase space," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 136-147.
  22. Bashir, Usman & Yu, Yugang & Hussain, Muntazir & Zebende, Gilney F., 2016. "Do foreign exchange and equity markets co-move in Latin American region? Detrended cross-correlation approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 889-897.
  23. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016. "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 255-265.
  24. 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).
  25. 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.
  26. Charutha, S. & Gopal Krishna, M. & Manimaran, P., 2020. "Multifractal analysis of Indian public sector enterprises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  27. Berta Marcos Ceron & Manuel Monge, 2023. "Consumer Sentiment and Luxury Behavior in the United States before and after COVID-19: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(16), pages 1-14, August.
  28. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
  29. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.
  30. 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.
  31. 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.
  32. Ruan, Qingsong & Huang, Ying & Jiang, Wei, 2016. "The exceedance and cross-correlations between the gold spot and futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 139-151.
  33. Kristoufek, Ladislav, 2014. "Measuring correlations between non-stationary series with DCCA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 291-298.
  34. Zhuang, Xiaoyang & Wei, Yu & Ma, Feng, 2015. "Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 430(C), pages 101-113.
  35. Sanyal, Shankha & Banerjee, Archi & Patranabis, Anirban & Banerjee, Kaushik & Sengupta, Ranjan & Ghosh, Dipak, 2016. "A study on Improvisation in a Musical performance using Multifractal Detrended Cross Correlation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 67-83.
  36. Zhang, Bangzheng & Wei, Yu & Yu, Jiang & Lai, Xiaodong & Peng, Zhenfeng, 2014. "Forecasting VaR and ES of stock index portfolio: A Vine copula method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 112-124.
  37. Cao, Guangxi & Xu, Wei, 2016. "Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 505-523.
  38. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Casado Belmonte, M.P. & Trinidad Segovia, J.E., 2020. "A note on power-law cross-correlated processes," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  39. 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.
  40. Xi, Caiping & Zhang, Shuning & Xiong, Gang & Zhao, Huichang & Yang, Yonghong, 2017. "The application of the multifractal cross-correlation analysis methods in radar target detection within sea clutter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 839-854.
  41. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  42. Jiang, Zhi-Qiang & Xie, Wen-Jie & Zhou, Wei-Xing, 2014. "Testing the weak-form efficiency of the WTI crude oil futures market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 235-244.
  43. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
  44. Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).
  45. Wang, Fang & Yang, Zhaohui & Wang, Lin, 2016. "Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 954-962.
  46. Ma, Feng & Wei, Yu & Huang, Dengshi, 2013. "Multifractal detrended cross-correlation analysis between the Chinese stock market and surrounding stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(7), pages 1659-1670.
  47. Yang, Yujun & Li, Jianping & Yang, Yimei, 2017. "The cross-correlation analysis of multi property of stock markets based on MM-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 23-33.
  48. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  49. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
  50. Jiang, Jiaqi & Gu, Rongbao, 2016. "Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 254-264.
  51. Zhou, Yu & Chen, Shi, 2016. "Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 117-127.
  52. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  53. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  54. 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.
  55. Gao, Xing-Lu & Shao, Ying-Hui & Yang, Yan-Hong & Zhou, Wei-Xing, 2022. "Do the global grain spot markets exhibit multifractal nature?," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
  56. Li, Shuping & Li, Jianfeng & Lu, Xinsheng & Sun, Yihong, 2022. "Exploring the dynamic nonlinear relationship between crude oil price and implied volatility indices: A new perspective from MMV-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  57. Machado Filho, A. & da Silva, M.F. & Zebende, G.F., 2014. "Autocorrelation and cross-correlation in time series of homicide and attempted homicide," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 12-19.
  58. Ma, Feng & Wei, Yu & Huang, Dengshi & Zhao, Lin, 2013. "Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5356-5368.
  59. Shi, Wenbin & Shang, Pengjian & Wang, Jing & Lin, Aijing, 2014. "Multiscale multifractal detrended cross-correlation analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 35-44.
  60. Yin, Yi & Shang, Pengjian & Feng, Guochen, 2016. "Modified multiscale cross-sample entropy for complex time series," Applied Mathematics and Computation, Elsevier, vol. 289(C), pages 98-110.
  61. Sikora, Grzegorz, 2018. "Statistical test for fractional Brownian motion based on detrending moving average algorithm," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 54-62.
  62. Kristoufek, Ladislav, 2015. "On the interplay between short and long term memory in the power-law cross-correlations setting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 218-222.
  63. Shen, Chen-hua & Li, Cao-ling, 2016. "An analysis of the intrinsic cross-correlations between API and meteorological elements using DPCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 100-109.
  64. Gu, Rongbao & Shao, Yanmin, 2016. "How long the singular value decomposed entropy predicts the stock market? — Evidence from the Dow Jones Industrial Average Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 453(C), pages 150-161.
  65. Wang, Gang-Jin & Xie, Chi & He, Ling-Yun & Chen, Shou, 2014. "Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 70-79.
  66. Liu, Xiaoming & Lin, Aijing & Li, Shuqi, 2021. "Classification of international stock markets through MDS based on Hurst-surface distance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  67. Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang, 2018. "The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns," Complexity, Hindawi, vol. 2018, pages 1-11, February.
  68. repec:arx:papers:1501.02947 is not listed on IDEAS
  69. Zhang, Xin & Yang, Liansheng & Zhu, Yingming, 2019. "Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 973-983.
  70. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  71. Wang, Luo-Qing & Xu, Yong-Xiang, 2018. "Distribution of individual status in the invisibility similarity network of new social strata in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 426-434.
  72. Liu, Yufang & Zhang, Weiguo & Fu, Junhui, 2016. "Binomial Markov-Switching Multifractal model with Skewed t innovations and applications to Chinese SSEC Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 56-66.
  73. Xu, Mengjia & Shang, Pengjian & Lin, Aijing, 2016. "Cross-correlation analysis of stock markets using EMD and EEMD," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 82-90.
  74. 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).
  75. Wang, Yan-Jun & Zhu, Yun-Feng & Zhu, Chen-Ping & Wu, Fan & Yang, Hui-Jie & Yan, Yong-Jie & Hu, Chin-Kun, 2019. "Indicator of serious flight delays with the approach of time-delay stability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 518(C), pages 363-373.
  76. Fei Ren & Ya-Nan Lu & Sai-Ping Li & Xiong-Fei Jiang & Li-Xin Zhong & Tian Qiu, 2017. "Dynamic Portfolio Strategy Using Clustering Approach," PLOS ONE, Public Library of Science, vol. 12(1), pages 1-23, January.
  77. Argyroudis, G. & Siokis, F., 2018. "The complexity of the HANG SENG Index and its constituencies during the 2007–2008 Great Recession," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 463-474.
  78. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
  79. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  80. Xiong, Gang & Yu, Wenxian & Zhang, Shuning, 2015. "Time-singularity multifractal spectrum distribution based on detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 351-366.
  81. Ge, Xinlei & Lin, Aijing, 2023. "Quantifying the direct and indirect interactions for EEG signals by using detrended permutation mutual information," Chaos, Solitons & Fractals, Elsevier, vol. 176(C).
  82. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  83. Xi, Caiping & Zhang, Shunning & Xiong, Gang & Zhao, Huichang, 2016. "A comparative study of two-dimensional multifractal detrended fluctuation analysis and two-dimensional multifractal detrended moving average algorithm to estimate the multifractal spectrum," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 454(C), pages 34-50.
  84. Yue-Hua Dai & Wei-Xing Zhou, 2017. "Temporal and spatial correlation patterns of air pollutants in Chinese cities," PLOS ONE, Public Library of Science, vol. 12(8), pages 1-24, August.
  85. Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 658-670.
  86. Kristoufek, Ladislav, 2014. "Leverage effect in energy futures," Energy Economics, Elsevier, vol. 45(C), pages 1-9.
  87. Chen, Yuwen & Zheng, Tingting, 2017. "Asymmetric joint multifractal analysis in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 10-19.
  88. Li, Tingyi & Xue, Leyang & Chen, Yu & Chen, Feier & Miao, Yuqi & Shao, Xinzeng & Zhang, Chenyi, 2018. "Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 374-384.
  89. Lu, Xinsheng & Sun, Xinxin & Ge, Jintian, 2017. "Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 144-161.
  90. Ge, Xinlei & Lin, Aijing, 2021. "Multiscale multifractal detrended partial cross-correlation analysis of Chinese and American stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 145(C).
  91. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
  92. Stošić, Dusan & Stošić, Darko & Stošić, Tatijana & Eugene Stanley, H., 2015. "Multifractal properties of price change and volume change of stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 46-51.
  93. 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).
  94. Wang, Fang & Wang, Lin & Chen, Yuming, 2018. "Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 454-464.
  95. Zhang, Xin & Zhu, Yingming & Yang, Liansheng, 2018. "Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 105-115.
  96. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
  97. Cao, Guangxi & Han, Yan & Cui, Weijun & Guo, Yu, 2014. "Multifractal detrended cross-correlations between the CSI 300 index futures and the spot markets based on high-frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 308-320.
  98. 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.
  99. 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.
  100. Shen, Chenhua, 2017. "A comparison of principal components using TPCA and nonstationary principal component analysis on daily air-pollutant concentration series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 453-464.
  101. Yao, Can-Zhong & Lin, Ji-Nan & Zheng, Xu-Zhou, 2017. "Coupling detrended fluctuation analysis for multiple warehouse-out behavioral sequences," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 75-90.
  102. Jian Zhou & Gao-Feng Gu & Zhi-Qiang Jiang & Xiong Xiong & Wei Chen & Wei Zhang & Wei-Xing Zhou, 2017. "Computational Experiments Successfully Predict the Emergence of Autocorrelations in Ultra-High-Frequency Stock Returns," Computational Economics, Springer;Society for Computational Economics, vol. 50(4), pages 579-594, December.
  103. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  104. Thiago B. Murari & Aloisio S. Nascimento Filho & Eder J.A.L. Pereira & Paulo Ferreira & Sergio Pitombo & Hernane B.B. Pereira & Alex A.B. Santos & Marcelo A. Moret, 2019. "Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market," Sustainability, MDPI, vol. 11(17), pages 1-12, August.
  105. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
  106. Guang Liu & Chih-Ping Yu & Shan-Neng Shiu & I-Tung Shih, 2022. "The Efficient Market Hypothesis and the Fractal Market Hypothesis: Interfluves, Fusions, and Evolutions," SAGE Open, , vol. 12(1), pages 21582440221, March.
  107. Zhai, Lusheng & Wu, Yinglin & Yang, Jie & Xie, Hailin, 2020. "Characterizing initiation of gas–liquid churn flows using coupling analysis of multivariate time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
  108. Fan, Xiaoqian & Yuan, Ying & Zhuang, Xintian & Jin, Xiu, 2017. "Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 323-333.
  109. 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.
  110. Kristoufek, Ladislav, 2015. "Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 124-127.
  111. Xin-Lan Fu & Xing-Lu Gao & Zheng Shan & Zhi-Qiang Jiang & Wei-Xing Zhou, 2018. "Multifractal characteristics and return predictability in the Chinese stock markets," Papers 1806.07604, arXiv.org.
  112. Lin, Min & Wang, Gang-Jin & Xie, Chi & Stanley, H. Eugene, 2018. "Cross-correlations and influence in world gold markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 504-512.
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