Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Economy – Quantitative Finance – Statistical Finance

Scientific paper

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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.

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