{"title":"Dissecting Multifractal detrended cross-correlation analysis","authors":"Borko Stosic, Tatijana Stosic","doi":"arxiv-2406.19406","DOIUrl":null,"url":null,"abstract":"In this work we address the question of the Multifractal detrended\ncross-correlation analysis method that has been subject to some controversies\nsince its inception almost two decades ago. To this end we propose several new\noptions to deal with negative cross-covariance among two time series, that may\nserve to construct a more robust view of the multifractal spectrum among the\nseries. We compare these novel options with the proposals already existing in\nthe literature, and we provide fast code in C, R and Python for both new and\nthe already existing proposals. We test different algorithms on synthetic\nseries with an exact analytical solution, as well as on daily price series of\nethanol and sugar in Brazil from 2010 to 2023.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"25 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2406.19406","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
In this work we address the question of the Multifractal detrended
cross-correlation analysis method that has been subject to some controversies
since its inception almost two decades ago. To this end we propose several new
options to deal with negative cross-covariance among two time series, that may
serve to construct a more robust view of the multifractal spectrum among the
series. We compare these novel options with the proposals already existing in
the literature, and we provide fast code in C, R and Python for both new and
the already existing proposals. We test different algorithms on synthetic
series with an exact analytical solution, as well as on daily price series of
ethanol and sugar in Brazil from 2010 to 2023.