Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Measuring correlations between non-stationary series with DCCA coefficient
L Kristoufek - Physica A: Statistical Mechanics and its Applications, 2014 - Elsevier
In this short report, we investigate the ability of the DCCA coefficient to measure correlation
level between non-stationary series. Based on a wide Monte Carlo simulation study, we …
level between non-stationary series. Based on a wide Monte Carlo simulation study, we …
Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
L Kristoufek - Physica A: Statistical mechanics and its applications, 2014 - Elsevier
In the paper, we introduce a new measure of correlation between possibly non-stationary
series. As the measure is based on the detrending moving-average cross-correlation …
series. As the measure is based on the detrending moving-average cross-correlation …
[HTML][HTML] Analysis of detrended time-lagged cross-correlation between two nonstationary time series
C Shen - Physics Letters A, 2015 - Elsevier
A time-lagged DCCA cross-correlation coefficient is proposed with objective of quantifying
the level of time-lagged cross-correlation between two nonstationary time series at time …
the level of time-lagged cross-correlation between two nonstationary time series at time …
Quantifying the cross-correlations between online searches and Bitcoin market
In this paper, we quantify the cross-correlations between Google Trends and Bitcoin market.
By employing the Multifractal Detrended Cross-correlation Analysis (MF-DCCA) method, we …
By employing the Multifractal Detrended Cross-correlation Analysis (MF-DCCA) method, we …
Several fundamental properties of DCCA cross-correlation coefficient
X Zhao, P Shang, J Huang - Fractals, 2017 - World Scientific
The (detrended cross-correlation analysis) DCCA cross-correlation coefficient was proposed
to measure the level of long-range cross-correlations between two non-stationary time …
to measure the level of long-range cross-correlations between two non-stationary time …
[HTML][HTML] Autocorrelation and cross-correlation in time series of homicide and attempted homicide
We propose in this paper to establish the relationship between homicides and attempted
homicides by a non-stationary time-series analysis. This analysis will be carried out by …
homicides by a non-stationary time-series analysis. This analysis will be carried out by …
DCCA cross-correlation coefficient with sliding windows approach
We have implemented in this paper the DCCA cross-correlation coefficient, ρ DCCA, with
sliding windows approach to measure cross-correlation as a function of time. Thereby, from …
sliding windows approach to measure cross-correlation as a function of time. Thereby, from …
Multiscale network for 20 stock markets using DCCA
The aim of this paper is to analyze the stock exchanges for a large set of countries (20 in
total) before and after the subprime crisis, identifying which markets are the most central and …
total) before and after the subprime crisis, identifying which markets are the most central and …
DCCA cross-correlation coefficients reveals the change of both synchronization and oscillation in EEG of Alzheimer disease patients
Y Chen, L Cai, R Wang, Z Song, B Deng… - Physica A: Statistical …, 2018 - Elsevier
Alzheimer's disease (AD) is a degenerative disorder of neural system that affects mainly the
older population. Recently, many researches show that the EEG of AD patients can be …
older population. Recently, many researches show that the EEG of AD patients can be …