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

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)

Recommendations

• Multiwavelet scale multidimensional recurrence quantification analysis
• Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series
• MULTIFRACTAL CROSS WAVELET ANALYSIS
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Multivariate multiscale complexity-entropy causality plane analysis for complex time series

Cites work

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

Cited in

(2)

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

Describes a project that uses

Uses Software

• K2

This page was built for publication: A method for analyzing correlation between multiscale and multivariate systems -- multiscale multidimensional cross recurrence quantification (MMDCRQA)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2122995)