A DFA approach for assessing asymmetric correlations

作者：Alvarez Ramirez Jose^*; Rodriguez Eduardo; Echeverria Juan Carlos

来源：Physica A: Statistical Mechanics and Its Applications , 2009, 388(12): 2263-2270.

DOI：10.1016/j.physa.2009.03.007

• Asymmetric correlations
• Scaling
• DFA

Here we propose a method, based on detrended fluctuation analysis, to investigate asymmetric correlations in nonstationary time series. The aim is to show that, for a certain range of time scales, different scaling properties are found if signal trending is either positive and negative. We illustrate the method by selected examples from physics and finance.

• 出版日期2009-6-15