title: Detrended cross-correlation analysis consistently extended to multifractality.
abstract: We propose an algorithm, multifractal cross-correlation analysis (MFCCA), which constitutes a consistent extension of the detrended cross-correlation analysis and is able to properly identify and quantify subtle characteristics of multifractal cross-correlations between two time series. Our motivation for introducing this algorithm is that the already existing methods, like multifractal extension, have at best serious limitations for most of the signals describing complex natural processes and often indicate multifractal cross-correlations when there are none. The principal component of the present extension is proper incorporation of the sign of fluctuations to their generalized moments. Furthermore, we present a broad analysis of the model fractal stochastic processes as well as of the real-world signals and show that MFCCA is a robust and selective tool at the same time and therefore allows for a reliable quantification of the cross-correlative structure of analyzed processes. In particular, it allows one to identify the boundaries of the multifractal scaling and to analyze a relation between the generalized Hurst exponent and the multifractal scaling parameter λ(q). This relation provides information about the character of potential multifractality in cross-correlations and thus enables a deeper insight into dynamics of the analyzed processes than allowed by any other related method available so far. By using examples of time series from the stock market, we show that financial fluctuations typically cross-correlate multifractally only for relatively large fluctuations, whereas small fluctuations remain mutually independent even at maximum of such cross-correlations. Finally, we indicate possible utility of MFCCA to study effects of the time-lagged cross-correlations.
authors.affiliation: Institute of Nuclear Physics, Polish Academy of Sciences, PL 31-342 Kraków, Poland.
authors.forename: Paweł
authors.initials: P
authors.lastname: Oświecimka
authors.affiliation: Institute of Nuclear Physics, Polish Academy of Sciences, PL 31-342 Kraków, Poland and Faculty of Physics, Mathematics and Computer Science, Cracow University of Technology, PL 31-155 Kraków, Poland.
authors.forename: Stanisław
authors.initials: S
authors.lastname: Drożdż
authors.affiliation: Institute of Nuclear Physics, Polish Academy of Sciences, PL 31-342 Kraków, Poland.
authors.forename: Marcin
authors.initials: M
authors.lastname: Forczek
authors.affiliation: Institute of Nuclear Physics, Polish Academy of Sciences, PL 31-342 Kraków, Poland.
authors.forename: Stanisław
authors.initials: S
authors.lastname: Jadach
authors.affiliation: Institute of Nuclear Physics, Polish Academy of Sciences, PL 31-342 Kraków, Poland.
authors.forename: Jarosław
authors.initials: J
authors.lastname: Kwapień