MULTIFRACTAL DETRENDED CROSS-CORRELATION ANALYSIS FOR LARGE-SCALE WAREHOUSE-OUT BEHAVIORS

Abstract

Based on cross-correlation algorithm, we analyze the correlation property of warehouse-out quantity of different warehouses, respectively, and different products of each warehouse. Our study identifies that significant cross-correlation relationship for warehouse-out quantity exists among different warehouses and different products of a warehouse. Further, we take multifractal detrended cross-correlation analysis for warehouse-out quantity among different warehouses and different products of a warehouse. The results show that for the warehouse-out behaviors of total amount, different warehouses and different products of a warehouse significantly follow multifractal property. Specifically for each warehouse, the coupling relationships of rebar and wire rod reveal long-term memory characteristics, no matter for large fluctuation or small one. The cross-correlation effect on long-range memory property among warehouses probably has less to do with product types,and the long-term memory of YZ warehouse is greater than others especially in total amount and wire rod product. Finally, we shuffle and surrogate data to explore the source of multifractal cross-correlation property in logistics system. Taking the total amount of warehouse-out quantity as example, we confirm that the fat-tail distribution of warehouse-out quantity sequences is the main factor for multifractal cross-correlation. Through comparing the performance of the multifractal detrended cross-correlation analysis (MF-DCCA), centered multifractal detrending moving average cross-correlation analysis (MF-X-DMA) algorithms, the forward and backward MF-X-DMA algorithms, we find that the forward and backward MF-X-DMA algorithms exhibit a better performance than the other ones.