Modified DFA and DCCA approach for quantifying the multiscale correlation structure of financial markets
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DOI: 10.1016/j.physa.2013.07.070
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- Jamshid Ardalankia & Mohammad Osoolian & Emmanuel Haven & G. Reza Jafari, 2019. "Scaling Features of Price-Volume Cross-Correlation," Papers 1903.01744, arXiv.org, revised Aug 2020.
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Keywords
Multiscale detrended fluctuation analysis (MSDFA); Multiscale detrended cross-correlation analysis (MSDCCA); Multiscale auto-correlation structure; Multiscale cross-correlation structure; Stock markets; Secant rolling window;All these keywords.
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