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Multifractal detrended cross-correlation analysis for two nonstationary signals
Wei-Xing Zhou * #
School of Business, East China University of Science and Technology
*Correspondence author
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Funding: 国家自然科学基金,霍英东基金,上海市青年科技启明星项目,教育部新世纪优秀人才支持计划（No.70501011,101086,06QA14015,NCET-07-0288）
Opened online:27 March 2008
Accepted by: none
Citation: Wei-Xing Zhou.Multifractal detrended cross-correlation analysis for two nonstationary signals[OL]. [27 March 2008] http://en.paper.edu.cn/en_releasepaper/content/19811
 
 
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended cross-correlation analysis (MF-DXA) to investigate the multifractal behaviors in the power-law cross-correlations between two records in one or higher dimensions. The method is validated with cross-correlated 1D and 2D binomial measures and multifractal random walks. Application to two financial time series is also illustrated.
Keywords:Multifractal detrended cross-correlation analysis, data analysis, MF-DFA, econophysics
 
 
 

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