期刊论文

Fan, Qingju

英文

Nonlinear Dynamics

0924-090X

2018

91

3

1527-1540

10.1007/s11071-017-3962-7

National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [31501227, 61603283, 61672395]; Social Science Foundation of Hunan Province [15YBA204]; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities [2014-Ia-038, 2016-IA-001]

本校为第一机构

In order to access the asymmetric cross-correlation between two time series in a wide range of scales, the method of asymmetric multiscale multifractal detrended cross-correlation analysis (A-MMFCCA) is proposed in this study, which is an extension of the asymmetric detrended fluctuation analysis and the multifractal cross-correlation analysis. Multiscale multifractal detrended cross-correlation analysis enables us to find that the price and the load series of California electricity market exhibit long-range persistent multifractal cross-correlation at different scale ranges during 1999-2000, ...