This article investigates the fractal contagion effect of the COVID-19 pandemic on the stock
markets. The stock market information of the top 32 coronavirus affected economies (as of …

In this paper, a new coefficient is proposed with the objective of quantifying the level of cross-
correlation between nonstationary time series. This cross-correlation coefficient is defined in …

For stationary time series, the cross-covariance and the cross-correlation as functions of time
lag n serve to quantify the similarity of two time series. The latter measure is also used to …

Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …

There are a number of situations in which several signals are simultaneously recorded in
complex systems, which exhibit long-term power-law cross correlations. The multifractal …

Noisy signals in many real-world systems display long-range autocorrelations and long-
range cross-correlations. Due to periodic trends, these correlations are difficult to quantify …

When common factors strongly influence two power-law cross-correlated time series
recorded in complex natural or social systems, using detrended cross-correlation analysis …

Random matrix theory (RMT) and network methods are applied to investigate the correlation
and network properties of 20 financial indices. The results are compared before and during …

A financial market is an example of an adaptive complex network consisting of many
interacting units. This network reflects market's behavior. In this paper, we use Random …

Digital assets termed cryptocurrencies are correlated. We analyze cross correlations
between price changes of different cryptocurrencies using methods of random matrix theory …