The cross-correlation analysis of multi property of stock markets based on MM-DFA

DOI10.1016/J.PHYSA.2017.04.005MaRDI QIDQ2147706zbMATH OpenOpenAlexFDO

Authors Yujun Yang, Yimei Yang, Jianping Li

Publication date 20 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.04.005

zbMATH Keywords

financial time seriesmultiscalemultifractalcross-correlation analysisMM-DFAmulti property analysis

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• Cross-correlations between volume change and price change
• Detrended fluctuation analysis of multivariate time series
• Dynamics of cross-correlations in the stock market
• Empirical properties of asset returns: stylized facts and statistical issues
• Long-range correlations and nonstationarity in the Brazilian stock market
• Modelling financial time series using multifractal random walks
• Multifractal detrended fluctuation analysis of nonstationary time series

Cited in

(7)

• A method for analyzing correlation between multiscale and multivariate systems -- multiscale multidimensional cross recurrence quantification (MMDCRQA)
• Asymmetric multiscale detrended cross-correlation analysis of financial time series
• MF-DCCA analysis of investor sentiment and financial market based on NLP algorithm
• Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series
• Multifractal detrended cross-correlation analysis of Chinese stock markets based on time delay
• Information flow and cross-correlation of chinese stock markets based on transfer entropy and DCCA
• Multifractal cross-correlation analysis between carbon spot and futures markets considering asymmetric conduction effect

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