Modeling Complex System Correlation Using Detrended Cross-Correlation Coefficient

Keqiang Dong, Hong Zhang and You Gao

Mathematical Problems in Engineering, 2014, vol. 2014, 1-7

Abstract:

The understanding of complex systems has become an area of active research for physicists because such systems exhibit interesting dynamical properties such as scale invariance, volatility correlation, heavy tails, and fractality. We here focus on traffic dynamic as an example of a complex system. By applying the detrended cross-correlation coefficient method to traffic time series, we find that the traffic fluctuation time series may exhibit cross-correlation characteristic. Further, we show that two traffic speed time series derived from adjacent sections exhibit much stronger cross-correlations than the two speed series derived from adjacent lanes. Similarly, we also demonstrate that the cross-correlation property between the traffic volume variables from two adjacent sections is stronger than the cross-correlation property between the volume variables of adjacent lanes.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:230537

DOI: 10.1155/2014/230537

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