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

DOI10.1016/J.CHAOS.2020.110066zbMATH Open1490.37099OpenAlexW3039250463MaRDI QIDQ2122995FDOQ2122995

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

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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)

Cites Work

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

Uses Software

• K2

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