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Journal Article

Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series

Krištoufek Ladislav

: Physica. A : Statistical Mechanics and its Applications vol.406, 1 (2014), p. 169-175

: GAP402/11/0948, GA ČR, GP14-11402P, GA ČR

: correlations, econophysics, non-stationarity

: 10.1016/j.physa.2014.03.015

: http://library.utia.cas.cz/separaty/2014/E/kristoufek-0433529.pdf

(eng): In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient ρDMCA(λ) with a moving average window length λ. We analytically show that the coefficient ranges between −1 and 1 as a standard correlation does. In the simulation study, we show that the values of ρDMCA(λ) very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the newly proposed measure on other parameters – correlation level, moving average window length and time series length – is discussed as well.

: AH

2019-01-07 08:39