Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Abstract

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.

11 pages, 7 pictures

References in corpus (5)

• Noise Dressing of Financial Correlation Matrices
• Universal and non-universal properties of cross-correlations in financial time series
• Orbital entanglement and violation of Bell inequalities in mesoscopic conductors
• Positive cross-correlations in a three-terminal quantum dot with ferromagnetic contacts
• Entanglement, Dephasing, and Phase Recovery via Cross-Correlation Measurements of Electrons

Cited by in corpus (127)

• Multifractal detrended cross-correlation analysis for two nonstationary signals
• Cross-correlations between volume change and price change
• Detrending moving average algorithm for multifractals
• Multifractal analysis of financial markets
• Multifractal detrending moving average cross-correlation analysis
• The Visibility Graph: a new method for estimating the Hurst exponent of fractional Brownian motion
• Correlation of financial markets in times of crisis
• Coevolution spreading in complex networks
• Multiscale characteristics of the emerging global cryptocurrency market
• Measuring correlations between non-stationary series with DCCA coefficient
• Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces
• Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations
• Leverage effect in energy futures
• Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series
• Detecting and interpreting distortions in hierarchical organization of complex time series
• Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
• Multifractal Detrended Cross-Correlation Analysis of Sunspot Numbers and River Flow Fluctuations
• Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
• Suppressing disease spreading by using information diffusion on multiplex networks
• Cross-correlation in financial dynamics
• Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
• Modified detrended fluctuation analysis based on empirical mode decomposition
• A New Methodology of Spatial Crosscorrelation Analysis
• Complexity in economic and social systems: cryptocurrency market at around COVID-19
• Testing the weak-form efficiency of the WTI crude oil futures market
• MFDFA: Efficient Multifractal Detrended Fluctuation Analysis in Python
• Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017
• Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales
• Cross-Correlation Dynamics in Financial Time Series
• Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application
• Point estimates, Simpson's paradox and nonergodicity in biological sciences
• Dynamic portfolio strategy using clustering approach
• Signatures of crypto-currency market decoupling from the Forex
• Cross-correlation of long-range correlated series
• Joint multifractal analysis based on wavelet leaders
• Multifractal cross wavelet analysis
• Performance of multifractal detrended fluctuation analysis on short time series
• Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average
• Dynamical variety of shapes in financial multifractality
• Cryptocurrency Market Consolidation in 2020--2021
• Analysis of cross-correlations in electroencephalogram signals as an approach to proactive diagnosis of schizophrenia
• Power-law correlations in finance-related Google searches, and their cross-correlations with volatility and traded volume: Evidence from the Dow Jones Industrial components
• Multifractality and long memory of a financial index
• Permutation Jensen-Shannon distance: A versatile and fast symbolic tool for complex time series analysis
• Non stationary multifractality in stock returns
• Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
• Multifractal and Network Analysis of Phase Transition
• On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Detrending Moving Average Algorithm: Frequency Response and Scaling Performances
• Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
• Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
• Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
• Financial factor influence on scaling and memory of trading volume in stock market
• Effects of polynomial trends on detrending moving average analysis
• Exploring asymmetric multifractal cross-correlations of price-volatility and asymmetric volatility dynamics in cryptocurrency markets
• Cross-correlation markers in stochastic dynamics of complex systems
• Assessment of 48 Stock markets using adaptive multifractal approach
• The q-dependent detrended cross-correlation analysis of stock market
• Distinguishing manipulated stocks via trading network analysis
• Parameter-free quantification of stochastic and chaotic signals
• Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time
• Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
• Comparison between Time Shifting Deviation and Cross-correlation Methods
• Information-theoretic approach to lead-lag effect on financial markets
• Testing power-law cross-correlations: Rescaled covariance test
• Direct determination approach for the multifractal detrending moving average analysis
• An Empirical Study on Predictability of Software Code Smell Using Deep Learning Models
• Introduction to correlation networks: Interdisciplinary approaches beyond thresholding
• Forecasting the underlying potential governing the time series of a dynamical system
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Evaluation of Scale-Invariance In Physiological Signals By Means Of Balanced Estimation Of Diffusion Entropy
• Fractal approach towards power-law coherency to measure cross-correlations between time series
• Finite sample properties of power-law cross-correlations estimators
• Time-series-analysis-based detection of critical transitions in real-world non-autonomous systems
• The short-term effect of COVID-19 pandemic on China's crude oil futures market: A study based on multifractal analysis
• Scaling of Seismic Memory with Earthquake Size
• Spectrum-based estimators of the bivariate Hurst exponent
• Cross-correlation asymmetries and causal relationships between stock and market risk
• On the interplay between short and long term memory in the power-law cross-correlations setting
• Synchronized and mixed outbreaks of coupled recurrent epidemics
• Spectral Domain of Large Nonsymmetric Correlated Wishart Matrices
• Coupling between time series: a network view
• Dynamics of Bid-ask Spread Return and Volatility of the Chinese Stock Market
• Power-law cross-correlations estimation under heavy tails
• Random matrix approach to the dynamics of stock inventory variations
• On the behavior of the DFA and DCCA in trend-stationary processes
• Multifractal Analysis of Pulsar Timing Residuals: Assessment of Gravitational Wave Detection
• Linear and nonlinear correlations in order aggressiveness of Chinese stocks
• Memory effect and multifractality of cross-correlations in financial markets
• Approaching multifractal complexity in decentralized cryptocurrency trading
• Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects
• Scaling Features of Price-Volume Cross-Correlation
• On the scaling of the distribution of daily price fluctuations in Mexican financial market index
• Comparative Computational Analysis of Global Structure in Canonical, Non-Canonical and Non-Literary Texts
• Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts
• Partial Mutual Information Analysis of Financial Networks
• Multifractal temporally weighted detrended partial cross-correlation analysis to quantify intrinsic power-law cross-correlation of two non-stationary time series affected by common external factors
• Study of Di-muon Production Process in $pp$ Collision in CMS Data from Symmetry Scaling Perspective
• Predicting trend reversals using market instantaneous state
• Long-range Correlation and Market Segmentation in Bond Market
• Multifractality and its sources in the digital currency market
• Note on log-periodic description of 2008 financial crash
• The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series
• Identification of Defective Two Dimensional Semiconductors by Multifractal Analysis: The Single-layer $\mathrm{Mo}{\mathrm{S}}_2$ Case Study
• Coupled effects of market impact and asymmetric sensitivity in financial markets
• Matrix H-theory approach to stock market fluctuations
• Self-organization and phase transition in financial markets with multiple choices
• Anomalous diffusion for a correlated process with long jumps
• Music of Brain and Music on Brain: A Novel EEG Sonification approach
• Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
• Neural (EEG) Response during Creation and Appreciation: A Novel Study with Hindustani Raga Music
• On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach based on Network Community Detection
• Exact results of the limited penetrable horizontal visibility graph associated to random time series and its application
• Microstructure identification via detrended fluctuation analysis of ultrasound signals
• Social media data reveals signal for public consumer perceptions
• The Generalisation of the DMCA Coefficient to Serve Distinguishing Between Hedge and Safe Haven Capabilities of the Gold
• Selected Methods for non-Gaussian Data Analysis
• Patterns for the waiting time in the context of discrete-time stochastic processes
• Meta-universality classes at criticality
• Network analysis of correlation strength between the most developed countries
• A novel time delay estimation algorithm of acoustic pyrometry for furnace
• A frequency approach to topological identification and graphical modeling
• Detecting unusual trading patterns on cryptocurrency exchanges by means of complexity measures
• Study on Key Technologies of Transit Passengers Travel Pattern Mining and Applications based on Multiple Sources of Data
• Ragas in Bollywood music A microscopic view through multrifractal cross-correlation method
• A DFA-based bivariate regression model for estimating the dependence of PM2.5 among neighbouring cities