The cross-correlation analysis of multi property of stock markets based on MM-DFA
作者： Yujun Yang , Jianping Li , Yimei Yang
DOI: 10.1016/J.PHYSA.2017.04.005
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摘要: Abstract In this paper, we propose a new method called DH-MXA based on distribution histograms of Hurst surface and multiscale multifractal detrended fluctuation analysis. The allows us to investigate the cross-correlation characteristics among multiple properties different stock time series. It may provide way measuring nonlinearity several signals. also can more stable faithful description stocks. helps present much richer information than detrented analysis assess many universal subtle markets. We show by selecting four artificial data sets five series from countries. results that our proposed be adapted general, American markets are mature less volatile Chinese
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