Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations

0364573 - ÚTIA 2013 RIV GB eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations.
EPL. Roč. 95, č. 6 (2011), 68001/1-68001/6. ISSN 0295-5075. E-ISSN 1286-4854
Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant ostatní: GA UK(CZ) 118310
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: cross-correlations * multifractality
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 2.171, rok: 2011
http://library.utia.cas.cz/separaty/2011/E/kristoufek-0364573.pdf

We introduce a new method for the detection of long-range cross-correlations and multifractality -multifractal height cross-correlation analysis (MF-HXA)- based on scaling of q-th order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Baraba ́si and Vicsek (Baraba ́si A. L. and Vicsek T., Phys. Rev. A, 44 (1991) 2730). The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate the utility of the method on both simulated and real-world time series.
Trvalý link: http://hdl.handle.net/11104/0200024