Dissecting Multifractal detrended cross-correlation analysis

By Borko Stosic, Tatijana Stosic

Rating

1688
Battle Count: 60

Relevance

8/10
The proposed methods can be valuable for analyzing cross-correlations in financial time series, particularly for commodity markets like sugar and ethanol

Implementation Complexity

6/10
While the authors provide source code, implementing and correctly applying these methods may require significant expertise in time series analysis and multifractal methods

Reproducibility

4/5
Authors provide source code in C, R and Python, enhancing reproducibility

About this paper

Methodology: Multifractal detrended cross-correlation analysis. Problem types: Time Series Analysis, Cross-correlation Analysis.

The interactive Everscope explorer (charts, battles, favorites) loads below.