TIME-DELAY MULTISCALE MULTIFRACTAL DETRENDED PARTIAL CROSS-CORRELATION ANALYSIS OF HIGH-FREQUENCY STOCK SERIES

DOI10.1142/S0218348X21501413zbMath1482.91222OpenAlexW3137901055MaRDI QIDQ5024993

Aijing Lin, Danlei Gu

Publication date: 1 February 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x21501413

zbMATH Keywords

time-delayhigh-frequency stocksmultiscale multifractal detrended partial cross-correlation analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractals (28A80) Financial markets (91G15)

Related Items (1)

Fractal interpolation densities

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Analysis of detrended time-lagged cross-correlation between two nonstationary time series
• Hölder exponent spectra for human gait
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• Economic fluctuations and statistical physics: the puzzle of large fluctuations
• MULTIFRACTAL CROSS-CORRELATION ANALYSIS BASED ON STATISTICAL MOMENTS
• Complex dynamics of our economic life on different scales: insights from search engine query data
• Fractal measures and their singularities: The characterization of strange sets

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