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Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
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17 January 2012
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Abstract
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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Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
T. Di Matteo, T. Aste, Michel Dacorogna (2005)
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Application of fractal models to characterization of vertical distribution of geochemical element concentration
Renguang Zuo, Qiuming Cheng, Qinglin Xia (2009)