Multifractal characterization of gold market: a multifractal detrended fluctuation analysis
arXiv:1506.08847 · doi:10.1016/j.physa.2014.06.076
Abstract
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013. Various multifractal variables, such as the generalized Hurst exponent, the multifractal exponent and the singularity spectrum, are calculated and the results are fitted to the generalized binomial multifractal (GBM) series that consists of only two parameters. Special emphasis is given to identify the possible source(s) of multifractality in these series. Our analysis shows that the CPI series and all three market series are of multifractal nature. The origin of multifractality for the CPI time series and Indian market series is found due to a long-range time correlation, whereas it is mostly due to the fat-tailed probability distributions of the values for the Chinese and Turkey markets. The GBM model series more or less describes all the time series analyzed here.
arXiv comment20 pages, 7 figures, 1 table
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