Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis

DOI10.1007/s11071-019-05335-5zbMath1430.62193arXiv1906.07491OpenAlexW2986845024WikidataQ112217314 ScholiaQ112217314MaRDI QIDQ2296838

Marcin Wątorek, S. Drożdż, Paweł Oświȩcimka, Robert Gębarowski

Publication date: 18 February 2020

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.07491

zbMATH Keywords

time seriesquantitative financeagglomerative hierarchical clusteringmultifractal detrended fluctuation analysismultiscale cross-correlationtriangular arbitrage

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)

Related Items (3)

Equivalence relations and \(L^p\) distances between time series with application to the black summer Australian bushfires ⋮ Multifractal temporally weighted detrended cross-correlation analysis of multivariate time series ⋮ EFFECT OF FILTERS ON MULTIVARIATE MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Alternative measure of multifractal content and its application in finance
• Philosophy of complex systems
• Explanation in artificial intelligence: insights from the social sciences
• Foreign exchange markets with last look
• Theq-dependent detrended cross-correlation analysis of stock market
• MULTIFRACTAL CROSS WAVELET ANALYSIS

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