Economy – Quantitative Finance – Statistical Finance
Scientific paper
2007-09-03
Economy
Quantitative Finance
Statistical Finance
11 pages, 7 pictures
Scientific paper
10.1103/PhysRevLett.100.084102
Here we propose a method, based on detrended covariance which we call
detrended cross-correlation analysis (DXA), to investigate power-law
cross-correlations between different simultaneously-recorded time series in the
presence of non-stationarity. We illustrate the method by selected examples
from physics, physiology, and finance.
Podobnik Boris
Stanley Eugene H.
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