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
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Citations: View citations in EconPapers (5)
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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
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