EconPapers    
Economics at your fingertips  
 

Detecting and quantifying cross-correlations by analogous multifractal height cross-correlation analysis

Fang Wang, Zhaohui Yang and Lin Wang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 444, issue C, 954-962

Abstract: A new algorithm, analogous multifractal height cross-correlation analysis (AMF-HXA), is proposed in this paper. Our novel method takes into consideration of both the fluctuation information and the sign information in the corresponding cross-covariance function. Numerical tests on artificially simulated series and real world series are performed to demonstrate that our method can accurately detect long-range cross-correlations for two simultaneously recorded series. A new cross-correlation coefficient is also defined to quantify the levels of cross-correlation between two series.

Keywords: Cross-correlation; Analogous multifractal height cross-correlation analysis; Analogous multifractal height cross-correlation coefficient (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437115009553
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:444:y:2016:i:c:p:954-962

DOI: 10.1016/j.physa.2015.10.096

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:phsmap:v:444:y:2016:i:c:p:954-962