Multifractal temporally weighted detrended cross-correlation analysis to quantify power-law cross-correlation and its application to stock markets-Reference-Cited by-同舟云学术

Multifractal temporally weighted detrended cross-correlation analysis to quantify power-law cross-correlation and its application to stock markets

Published:2017-06 Issue:6 Volume:27 Page:063111
ISSN:1054-1500
Container-title:Chaos: An Interdisciplinary Journal of Nonlinear Science
language:en
Short-container-title:Chaos

Author:

Wei Yun-Lan¹,Yu Zu-Guo¹²,Zou Hai-Long¹,Anh Vo²

Affiliation:

1. Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education and Hunan Key Laboratory for Computation and Simulation in Science and Engineering, Xiangtan University, Xiangtan, Hunan 411105, China

2. School of Mathematical Sciences, Queensland University of Technology, GPO Box 2434, Brisbane Q4001, Australia

Funder

National Natural Science Foundation of China (NSFC)

Changjiang Scholar Program of Chinese Ministry of Education (Changjiang Scholar Program of Ministry of Education of China)

Australian Research Council (ARC)

Publisher

AIP Publishing

Subject

Applied Mathematics,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics

Link

http://aip.scitation.org/doi/pdf/10.1063/1.4985637

Reference50 articles.

1. The Fractal Geometry of Nature

2. Noise Dressing of Financial Correlation Matrices

3. Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series

4. Mosaic organization of DNA nucleotides

Cited by 22 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Connection between climatic change and international food prices: evidence from robust long-range cross-correlation and variable-lag transfer entropy with sliding windows approach;EPJ Data Science;2024-08-14

2. A cross horizontal visibility graph algorithm to explore associations between two time series;Chaos, Solitons & Fractals;2024-04

3. Measuring Economic Uncertainty Synchrony with Cross-Sample Entropy Under Common External Factors: The Case of Chile;Fluctuation and Noise Letters;2023-07-26

4. A NEW RANDOM REWIRING METHOD TO TRANSFORM FRACTAL NETWORKS INTO SMALL-WORLD NETWORKS;Fractals;2023-01

5. Multiscale time-lagged correlation networks for detecting air pollution interaction;Physica A: Statistical Mechanics and its Applications;2022-09