| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 976352 | Physica A: Statistical Mechanics and its Applications | 2009 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Jose Alvarez-Ramirez, Eduardo Rodriguez, Juan Carlos Echeverria,