0433529 - ÚTIA 2015 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series.
Physica. A : Statistical Mechanics and its Applications. Roč. 406, č. 1 (2014), s. 169-175. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GP14-11402P
Grant ostatní: GA ČR(CZ) GAP402/11/0948
Program: GA
Institucionální podpora: RVO:67985556
Klíčová slova: correlations * econophysics * non-stationarity
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.732, rok: 2014 ; AIS: 0.449, rok: 2014
Web výsledku:
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433529.pdf

DOI: https://doi.org/10.1016/j.physa.2014.03.015

In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between −1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters – correlation level, moving average window length and time series length – is discussed as well.
Trvalý link: http://hdl.handle.net/11104/0237765