{"paper":{"title":"Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series","license":"http://creativecommons.org/licenses/by-nc-sa/3.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.ST","authors_text":"Ladislav Kristoufek","submitted_at":"2013-11-04T11:57:51Z","abstract_excerpt":"In the paper, we introduce a new measure of correlation between possibly non-stationary series. As the measure is based on the detrending moving-average cross-correlation analysis (DMCA), we label it as the DMCA coefficient $\\rho_{DMCA}(\\lambda)$ with a moving average window length $\\lambda$. We analytically show that the coefficient ranges between -1 and 1 as a standard correlation does. In the simulation study, we show that the values of $\\rho_{DMCA}(\\lambda)$ very well correspond to the true correlation between the analyzed series regardless the (non-)stationarity level. Dependence of the n"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1311.0657","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}