Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series

DOI10.1142/S0218348X21501413MaRDI QIDQ5024993zbMATH OpenOpenAlexFDO

Authors Danlei Gu, Aijing Lin

Publication date 1 February 2022

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218348x21501413

zbMATH Keywords

high-frequency stocksmultiscale multifractal detrended partial cross-correlation analysistime-delay

Mathematics Subject Classification ID

Fractals (28A80) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Analysis of detrended time-lagged cross-correlation between two nonstationary time series
• Complex dynamics of our economic life on different scales: insights from search engine query data
• Economic fluctuations and statistical physics: the puzzle of large fluctuations
• Fractal measures and their singularities: The characterization of strange sets
• Hölder exponent spectra for human gait
• Multifractal cross-correlation analysis based on statistical moments
• Multifractal detrended fluctuation analysis of nonstationary time series
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
• Statistical test for multiple detrended cross-correlation coefficient
• The cross-correlation analysis of multi property of stock markets based on MM-DFA

Cited in

(5)

• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Multifractal detrended cross-correlation analysis of Chinese stock markets based on time delay
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES
• Theq-dependent detrended cross-correlation analysis of stock market
• Fractal interpolation densities

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