A method for analyzing correlation between multiscale and multivariate systems—Multiscale multidimensional cross recurrence quantification (MMDCRQA)

Qian He and Jingjing Huang

Chaos, Solitons & Fractals, 2020, vol. 139, issue C

Abstract: In this paper, multiscale multidimensional cross recurrence quantification analysis (MMDCRQA) is introduced and we employ this method to investigate the correlation between two systems with multiscales and multidimensions. Compared with single time scale, the MMDCRQA based on multiscale time series can show richer and more recognizable information. Both model systems (Lorenz and Rössler systems) and stock market indexes (SSEC and SZSE) exhibit that the MMDCRQA can explore the dynamic characteristics at different time scales. It demonstrates that the MMDCRQA can investigate the dynamic characteristics and correlation between two multidimensional systems at different time scales.

Keywords: Multiscale multidimensional cross recurrence quantification analysis; Multidimensional cross recurrence plot; Financial time series; Lorenz and Rössler systems (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:139:y:2020:i:c:s096007792030463x

DOI: 10.1016/j.chaos.2020.110066

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