An interesting, similar (in nature), Multifractal Cross-Correlation Analysis (MFCXA) is presented by Qingju Fan and Dan Li, Modeling electricity prices: jump diffusion and regime switching, Physica A, 429, 17-27, 2015 (possibly not the original article where MFCXA is proposed).
It involves a more complicated functional, but it seems like something we could add to MFDFA in a later version.
An interesting, similar (in nature), Multifractal Cross-Correlation Analysis (MFCXA) is presented by Qingju Fan and Dan Li, Modeling electricity prices: jump diffusion and regime switching, Physica A, 429, 17-27, 2015 (possibly not the original article where MFCXA is proposed).
It involves a more complicated functional, but it seems like something we could add to
MFDFAin a later version.