کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7379098 | 1480131 | 2016 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cross-correlation analysis of stock markets using EMD and EEMD
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Cross-correlation analysis of stock markets using EMD and EEMD Cross-correlation analysis of stock markets using EMD and EEMD](/preview/png/7379098.png)
چکیده انگلیسی
Empirical mode decomposition (EMD) is a data-driven signal analysis method for nonlinear and nonstationary data. Since it is intuitive, direct, posterior and adaptive, EMD is widely applied to various fields of study. In this paper, EMD and ensemble empirical mode decomposition (EEMD), a modified method of EMD, are applied to financial time series. Through analyzing the intrinsic mode functions (IMFs) of EMD and EEMD, we find EEMD method performs better on the orthogonality of IMFs than EMD. With clustering the ordered frequencies of IMFs, the IMFs obtained from EEMD method are grouped into high-, medium-, and low-frequency components, representing the short-, medium-, and long-term volatilities of the index sequences, respectively. With the cross-correlation analysis of DCCA cross-correlation coefficient, our findings allow us to gain further and detailed insight into the cross-correlations of stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 442, 15 January 2016, Pages 82-90
Journal: Physica A: Statistical Mechanics and its Applications - Volume 442, 15 January 2016, Pages 82-90
نویسندگان
Mengjia Xu, Pengjian Shang, Aijing Lin,