Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations

Details Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations

2012-01-17

arxiv.org/abs/1201.3473v2

EPL 95, 68001, 2011

Economy

Quantitative Finance

Statistical Finance

6 pages, 4 figures

Scientific paper

10.1209/0295-5075/95/68001

We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek, T.: Multifractality of self-affine fractals, Physical Review A 44(4), 1991]. The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate a power of the method on both simulated and real-world time series.

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