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

DOI10.1016/J.CHAOS.2020.110066MaRDI QIDQ2122995zbMATH OpenOpenAlexFDO

Authors Qian He, Jingjing 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 seriesmultidimensional cross recurrence plotmultiscale multidimensional cross recurrence quantification analysisLorenz and Rössler systems

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)

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Cites work

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

Cited in

(2)

• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Multiwavelet scale multidimensional recurrence quantification analysis

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• K2

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