MULTIFRACTAL CROSS WAVELET ANALYSIS
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Publication:5219463
DOI10.1142/S0218348X17500542zbMATH Open1432.28006arXiv1610.09519OpenAlexW3100719743MaRDI QIDQ5219463FDOQ5219463
Authors: Zhi-Qiang Jiang, Xing-Lu Gao, Wei-Xing Zhou, H. Eugene Stanley 
Publication date: 12 March 2020
Published in: Fractals (Search for Journal in Brave)
Abstract: Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint multifractal nature of such long-range cross correlations based on wavelet analysis, termed multifractal cross wavelet analysis (MFXWT). We assess the performance of the MFXWT method by performing extensive numerical experiments on the dual binomial measures with multifractal cross correlations and the bivariate fractional Brownian motions (bFBMs) with monofractal cross correlations. For binomial multifractal measures, the empirical joint multifractality of MFXWT is found to be in approximate agreement with the theoretical formula. For bFBMs, MFXWT may provide spurious multifractality because of the wide spanning range of the multifractal spectrum. We also apply the MFXWT method to stock market indexes and uncover intriguing joint multifractal nature in pairs of index returns and volatilities.
Full work available at URL: https://arxiv.org/abs/1610.09519
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- A method for analyzing correlation between multiscale and multivariate systems -- multiscale multidimensional cross recurrence quantification (MMDCRQA)
- The hyperbolic wavelet transform: an efficient tool for multifractal analysis of anisotropic fields
- Evolution of multifractal cross-correlations between the Argentina MERVAL Index and international commodities prices
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- Time-localized wavelet multiple regression and correlation
- Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
- Testing for effects of cross-correlations on joint multifractality
- Quantifying multifractal anisotropy in two dimensional objects
- Multifractal detrended cross-correlation analysis of Chinese stock markets based on time delay
- Two-dimensional multifractal cross-correlation analysis
- Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series
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