文献类型：期刊文献

英文题名：Joint multifractal analysis based on the partition function approach: analytical analysis, numerical simulation and empirical application

作者：Xie, Wen-Jie[1,2,3];Jiang, Zhi-Qiang[1,2];Gu, Gao-Feng[1,2];Xiong, Xiong[4,5];Zhou, Wei-Xing[1,2,6]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Postdoctoral Res Stn, Shanghai 200237, Peoples R China;[4]Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China;[5]Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin 300072, Peoples R China;[6]E China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China

年份：2015

卷号：17

期号：10

外文期刊名：NEW JOURNAL OF PHYSICS

收录：;EI(收录号：20154701567243);WOS:【SCI-EXPANDED(收录号:WOS:000367329600003)】；

基金：We are grateful to the referees for their insightful suggestions. We acknowledge financial support from the National Natural Science Foundation of China (11375064 and 71131007), the Program for Changjiang Scholars and Innovative Research Team in University (IRT1028), and the Fundamental Research Funds for the Central Universities.

语种：英文

外文关键词：multifractal analysis; cross correlation; econophysics; partition function

摘要：Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only one moment order. We study the joint multifractal analysis based on partition function with two moment orders, which was initially invented to investigate fluid fields, and derive analytically several important properties. We apply the method numerically to binomial measures with multifractal cross correlations and bivariate fractional Brownian motions without multifractal cross correlations. For binomial multifractal measures, the explicit expressions of mass function, singularity strength and multifractal spectrum of the cross correlations are derived, which agree excellently with the numerical results. We also apply the method to stock market indexes and unveil intriguing multifractality in the cross correlations of index volatilities.