Multifractal detrended cross-correlation analysis for two nonstationary signals

Details Multifractal detrended cross-correlation analysis for two nonstationary signals Multifractal detrended cross-correlation analysis for two nonstationary signals

2008-03-19

arxiv.org/abs/0803.2773v1

Physical Review E 77 (6), 066211 (2008).

Physics

Data Analysis, Statistics and Probability

4 RevTex pages including 6 eps figures

Scientific paper

10.1103/PhysRevE.77.066211

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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