Abstract
This letter is devoted to measure the nonlinear interactions between non-stationary time series on multiple time scales. A graph-theoretic method by the node degrees relationship in the context of horizontal visibility graphs (HVGs) is proposed, which bridges the gap among time series analysis, multiscale analysis, and graph theory. We compare the new method with other measures, and study the degree properties and significance test. We then apply it to stock time series analysis, so as to quantify the information exchange between the daily closing price and daily trading volume in stock markets.
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