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arXiv · 0803.2773

Multifractal detrended cross-correlation analysis for two nonstationary signals

Wei-Xing Zhou
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Abstract

It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.

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BibTeXRIS

Wei-Xing Zhou. 2008-03-19. Multifractal detrended cross-correlation analysis for two nonstationary signals. https://doi.org/10.1103/physreve.77.066211

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