We introduce a new method for detection of long-range cross-correlations and multifractality - multifractal height cross-correlation analysis (MF-HXA) - based on scaling of qth order covariances. MF-HXA is a bivariate generalization of the height-height correlation analysis of Barabasi & Vicsek [Barabasi, A.L., Vicsek, T.: Multifractality of self-affine fractals, Physical Review A 44(4), 1991]. The method can be used to analyze long-range cross-correlations and multifractality between two simultaneously recorded series. We illustrate a power of the method on both simulated and real-world time series.
Cite
@article{arxiv.1201.3473,
title = {Multifractal Height Cross-Correlation Analysis: A New Method for Analyzing Long-Range Cross-Correlations},
author = {Ladislav Kristoufek},
journal= {arXiv preprint arXiv:1201.3473},
year = {2012}
}