文献类型：期刊文献

英文题名：Multifractal detrended cross-correlation analysis for two nonstationary signals

作者：Zhou, Wei-Xing[1,2]

机构：[1]E China Univ Sci & Technol, Res Ctr Econophys, Sch Sci, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2008

卷号：77

期号：6

外文期刊名：PHYSICAL REVIEW E

收录：;EI(收录号：20082711348391);WOS:【SCI-EXPANDED(收录号:WOS:000257287600032)】；

语种：英文

外文关键词：Financial data processing - Fractals - Correlation methods - Time series

摘要：We propose a method called multifractal detrended cross-correlation analysis to investigate the multifractal behaviors in the power-law cross-correlations between two time series or higher-dimensional quantities recorded simultaneously, which can be applied to diverse complex systems such as turbulence, finance, ecology, physiology, geophysics, and so on. The method is validated with cross-correlated one- and two-dimensional binomial measures and multifractal random walks. As an example, we illustrate the method by analyzing two financial time series.