2008/03/19 by Wei-Xing Zhou · 2 citations
Physics and Astronomy · Economics, Econometrics and Finance · #physics.data-an #physics.soc-ph #q-fin.ST
paper · pdf · doi:10.1103/physreve.77.066211
published as Physical Review E 77 (6), 066211 (2008). · 4 RevTex pages including 6 eps figures
arxiv created 2008/03/19 · arxiv updated 2009/12/01
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.