Journal
NEW JOURNAL OF PHYSICS
Volume 17, Issue -, Pages -Publisher
IOP PUBLISHING LTD
DOI: 10.1088/1367-2630/17/10/103020
Keywords
multifractal analysis; cross correlation; econophysics; partition function
Categories
Funding
- National Natural Science Foundation of China [11375064, 71131007]
- Program for Changjiang Scholars and Innovative Research Team in University [IRT1028]
- Fundamental Research Funds for the Central Universities
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Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only one moment order. We study the joint multifractal analysis based on partition function with two moment orders, which was initially invented to investigate fluid fields, and derive analytically several important properties. We apply the method numerically to binomial measures with multifractal cross correlations and bivariate fractional Brownian motions without multifractal cross correlations. For binomial multifractal measures, the explicit expressions of mass function, singularity strength and multifractal spectrum of the cross correlations are derived, which agree excellently with the numerical results. We also apply the method to stock market indexes and unveil intriguing multifractality in the cross correlations of index volatilities.
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