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Multifractal detrended cross-correlation analysis on gold, crude oil and foreign exchange rate time series

Authors
Journal
Physica A Statistical Mechanics and its Applications
0378-4371
Publisher
Elsevier
Publication Date
Volume
416
Identifiers
DOI: 10.1016/j.physa.2014.09.004
Keywords
  • Non-Stationary Time Series
  • Fractals
  • Hurst Exponent
  • Multifractal Detrended Cross-Correlation Analysis

Abstract

Abstract We apply the recently developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation behavior and fractal nature between two non-stationary time series. We analyze the daily return price of gold, West Texas Intermediate and Brent crude oil, foreign exchange rate data, over a period of 18 years. The cross correlation has been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the results, the existence of multifractal cross-correlation between all of these time series is found. We also found that the cross correlation between gold and oil prices possess uncorrelated behavior and the remaining bivariate time series possess persistent behavior. It was observed for five bivariate series that the cross-correlation exponents are less than the calculated average generalized Hurst exponents (GHE) for q<0 and greater than GHE when q>0 and for one bivariate series the cross-correlation exponent is greater than GHE for all q values.

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