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- W3100719743 abstract "Complex systems are composed of mutually interacting components and the output values of these components usually exhibit long-range cross-correlations. Using wavelet analysis, we propose a method of characterizing the joint multifractal nature of these long-range cross correlations, a method we call multifractal cross wavelet analysis (MFXWT). We assess the performance of the MFXWT method by performing extensive numerical experiments on the dual binomial measures with multifractal cross correlations and the bivariate fractional Brownian motions (bFBMs) with monofractal cross correlations. For binomial multifractal measures, we find the empirical joint multifractality of MFXWT to be in approximate agreement with the theoretical formula. For bFBMs, MFXWT may provide spurious multifractality because of the wide spanning range of the multifractal spectrum. We also apply the MFXWT method to stock market indices, and in pairs of index returns and volatilities we find an intriguing joint multifractal behavior. The tests on surrogate series also reveal that the cross correlation behavior, particularly the cross correlation with zero lag, is the main origin of cross multifractality." @default.
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- W3100719743 date "2017-11-21" @default.
- W3100719743 modified "2023-09-25" @default.
- W3100719743 title "MULTIFRACTAL CROSS WAVELET ANALYSIS" @default.
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- W3100719743 doi "https://doi.org/10.1142/s0218348x17500542" @default.
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