Discrete scale-invariance in cross-correlations between time series

Qin Xiao, Xue Pan, Mutua Stephen, Yue Yang, Xinli Li and Huijie Yang

Physica A: Statistical Mechanics and its Applications, 2015, vol. 421, issue C, 161-170

Abstract: The de-trended cross-correlation analysis (DCCA) is converted to a new form, which turns out to be a periodic function modulated power-law, to evaluate discrete-scale long-range cross-correlation between time series. If the modulator is dominated with one frequency, the derived form will degenerate to a log-periodic power-law. We investigate a total of five important stock markets distributing in different continents. Calculations show that the cross-correlations between different stock markets may hint at log-periodic oscillations. This finding may be helpful for us to evaluate financial state in a global way.

Keywords: Discrete-scale long-range correlation; De-trended cross-correlation analysis; Stock markets (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:421:y:2015:i:c:p:161-170

DOI: 10.1016/j.physa.2014.11.032

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