Multifractal detrended cross-correlation analysis for two nonstationary signals

Wei-Xing Zhou (周炜星)
Phys. Rev. E 77, 066211 – Published 18 June 2008

Abstract

We propose a method called multifractal detrended cross-correlation analysis to investigate the multifractal behaviors in the power-law cross-correlations between two time series or higher-dimensional quantities recorded simultaneously, which can be applied to diverse complex systems such as turbulence, finance, ecology, physiology, geophysics, and so on. The method is validated with cross-correlated one- and two-dimensional binomial measures and multifractal random walks. As an example, we illustrate the method by analyzing two financial time series.

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  • Received 19 March 2008

DOI:https://doi.org/10.1103/PhysRevE.77.066211

©2008 American Physical Society

Authors & Affiliations

Wei-Xing Zhou (周炜星)*

  • School of Business, School of Science, Research Center for Econophysics, and Research Center of Systems Engineering, East China University of Science and Technology, Shanghai 200237, China

  • *wxzhou@ecust.edu.cn

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Vol. 77, Iss. 6 — June 2008

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