A method for analyzing correlation between multiscale and multivariate systems -- multiscale multidimensional cross recurrence quantification (MMDCRQA)

DOI10.1016/J.CHAOS.2020.110066zbMath1490.37099OpenAlexW3039250463MaRDI QIDQ2122995

Qian He, Jing-Jing Huang

Publication date: 7 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.110066

zbMATH Keywords

financial time seriesLorenz and Rössler systemsmultidimensional cross recurrence plotmultiscale multidimensional cross recurrence quantification analysis

Mathematics Subject Classification ID

Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10) Simulation of dynamical systems (37M05) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25)

Uses Software

• K2

Cites Work

• Multiscale multifractal diffusion entropy analysis of financial time series
• An equation for continuous chaos
• Deterministic Nonperiodic Flow

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