Multifractal detrended cross-correlation analysis of gold price and SENSEX

被引：29
|
作者：
Dutta, Srimonti [1 ]
Ghosh, Dipak [2 ]
Samanta, Shukla [3 ]
机构：
[1] Behala Coll, Dept Phys, Kolkata 700060, India
[2] Jadavpur Univ, UGC Emeritus Fellow, Dept Phys, Kolkata 700032, India
[3] Seacom Engn Coll, Jaladhulagori Howrah 711302, India
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2014年 / 413卷
关键词：
Non-stationary time series; Multifractals; Cross correlation; Auto-correlation; Hurst exponent; TIME-SERIES; FLUCTUATION ANALYSIS; MARKET-EFFICIENCY; MOVING AVERAGE; STOCK; EXCHANGE; CURRENCY;
D O I：
10.1016/j.physa.2014.06.081
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
This paper studies the variation of autocorrelation and cross correlation coefficients of gold price and SENSEX fluctuations with time. The paper uses MFDFA and MFDXA methodologies. SENSEX plays a more dominant role in the variation of cross correlations. It is observed that the cross correlation coefficients can be linked with the stability of the market. The market is most stable when the two series are most correlated. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：195 / 204
页数：10
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