Kristoufek, L.: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
| Author(s): | prof. PhDr. Ladislav Krištoufek Ph.D., |
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| Type: | Articles in journals with impact factor |
| Year: | 2011 |
| Number: | 95 |
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| Published in: | EPL (Europhysics Letters) 95, 68001 arXiv PDF |
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| Grants: | 402/09/0965: New Approaches for monitoring and prediction of capital markets 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications |
| Abstract: | 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. |
