Multivariate rescaled range analysis

M. Meraz, J. Alvarez-Ramirez and E. Rodriguez

Physica A: Statistical Mechanics and its Applications, 2022, vol. 589, issue C

Abstract: The rescaled range analysis introduced by H.E. Hurst in 1951 has been a useful tool for the analysis of complex univariate signals. However, in many instances one dispose of multichannel signals, for which a rescaled range analysis is required. This work aims to propose a straightforward extension to the multivariate case which resembles the computations steps of the univariate case. Two worked examples were used to illustrate the computations. The first example is the Dow Jones financial market comprising the index and trading volume. The second instance corresponds to the seismic activity in Southern Mexico (2019–2021), which considered four recorded variables (seismic magnitude, latitude, longitude, and depth). These results showed that the multivariate rescaled range analysis of complex systems improves the understanding of these systems relative to studies made with univariate rescaled range analysis.

Keywords: Econophysics; Rescaled range analysis; Hurst exponent; Multivariate; Dow Jones financial market; Seismic activity (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008815

DOI: 10.1016/j.physa.2021.126631

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