Quantifying the range of cross-correlated fluctuations using a q–L dependent AHXA coefficient

Fang Wang, Lin Wang and Yuming Chen

Physica A: Statistical Mechanics and its Applications, 2018, vol. 494, issue C, 454-464

Abstract: Recently, based on analogous height cross-correlation analysis (AHXA), a cross-correlation coefficient ρ×(L) has been proposed to quantify the levels of cross-correlation on different temporal scales for bivariate series. A limitation of this coefficient is that it cannot capture the full information of cross-correlations on amplitude of fluctuations. In fact, it only detects the cross-correlation at a specific order fluctuation, which might neglect some important information inherited from other order fluctuations. To overcome this disadvantage, in this work, based on the scaling of the qth order covariance and time delay L, we define a two-parameter dependent cross-correlation coefficient ρq(L) to detect and quantify the range and level of cross-correlations. This new version of ρq(L) coefficient leads to the formation of a ρq(L) surface, which not only is able to quantify the level of cross-correlations, but also allows us to identify the range of fluctuation amplitudes that are correlated in two given signals. Applications to the classical ARFIMA models and the binomial multifractal series illustrate the feasibility of this new coefficient ρq(L). In addition, a statistical test is proposed to quantify the existence of cross-correlations between two given series. Applying our method to the real life empirical data from the 1999–2000 California electricity market, we find that the California power crisis in 2000 destroys the cross-correlation between the price and the load series but does not affect the correlation of the load series during and before the crisis.

Keywords: Cross-correlation; Analogous height cross-correlation analysis; Fluctuation amplitude (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:494:y:2018:i:c:p:454-464

DOI: 10.1016/j.physa.2017.12.009

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