Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations
Institute of Economic Studies, Faculty of Social Sciences, Charles University - Opletalova 26, Prague, CZ-110 00, Czech Republic, EU
2 Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic Pod Vodarenskou vezi 4, Prague, CZ-182 08, Czech Republic, EU
Accepted: 28 July 2011
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 Barabási and Vicsek (Barabási 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.
PACS: 89.75.-k – Complex systems / 05.45.Tp – Time series analysis / 89.65.Gh – Economics; econophysics, financial markets, business and management
© EPLA, 2011