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

DOI10.1016/J.PHYSA.2017.04.005zbMATH Open1495.91086OpenAlexW2606392079MaRDI QIDQ2147706FDOQ2147706

Yujun Yang, Jianping Li, Yimei Yang

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

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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)

Cites Work

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

Cited In (1)

• TIME-DELAY MULTISCALE MULTIFRACTAL DETRENDED PARTIAL CROSS-CORRELATION ANALYSIS OF HIGH-FREQUENCY STOCK SERIES

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