A MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS OF GOLD PRICE FLUCTUATIONS

It is a well-established fact that gold has many economic functions including hedging against inflation and providing economic and physical safety. For this it is very important to know the nature of fluctuations in gold prices. In this paper, applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) for the world gold price data for over 40-year period from 1968 to 2010, the multifractal properties and scaling behavior of gold price time series is numerically investigated. The scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Furthermore, impact of two major sources of multifractality, i.e. fat-tailed probability distributions and nonlinear temporal correlations are also examined. Our findings suggest that multifractality in gold price is mainly due to the temporal correlation.