文献类型：期刊文献

英文题名：MULTIFRACTAL CROSS WAVELET ANALYSIS

作者：Jiang, Zhi-Qiang[1,2,4,5];Gao, Xing-Lu[1];Zhou, Wei-Xing[1,2,3];Stanley, H. Eugene[4,5]

机构：[1]East China Univ Sci & Technol, Dept Finance, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Dept Math, Shanghai 200237, Peoples R China;[4]Boston Univ, Dept Phys, 590 Commonwealth Ave, Boston, MA 02215 USA;[5]Boston Univ, Ctr Polymer Studies, Boston, MA 02215 USA

年份：2017

卷号：25

期号：6

外文期刊名：FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

收录：;EI(收录号：20174204283247);WOS:【SCI-EXPANDED(收录号:WOS:000415879300003)】；

基金：We acknowledge financial support from the National Natural Science Foundation of China (11375064, 71532009 and 71571121) and the Fundamental Research Funds for the Central Universities (222201718006).

语种：英文

外文关键词：Joint Multifractal Analysis; Wavelet Analysis; Binomial Measure; Bivariate Fractional Brownian Motion; Bootstrap

摘要：Complex systems are composed of mutually interacting components and the output values of these components usually exhibit long-range cross-correlations. Using wavelet analysis, we propose a method of characterizing the joint multifractal nature of these long-range cross correlations, a method we call 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, we find the empirical joint multifractality of MFXWT 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 indices, and in pairs of index returns and volatilities we find an intriguing joint multifractal behavior. The tests on surrogate series also reveal that the cross correlation behavior, particularly the cross correlation with zero lag, is the main origin of cross multifractality.