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Application of multifractal measures to Tehran price index
Norouzzadeh, P
Application of multifractal measures to Tehran price index
Norouzzadeh, P ; Sharif University of Technology | 2005
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- Type of Document: Article
- DOI: 10.1016/j.physa.2005.02.046
- Publisher: 2005
- Abstract:
- We report an empirical study of Tehran price index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo's method), detrended fluctuation analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of TEPIX returns is specified, long-memory effect or long-range correlation property in this market is investigated, fractal dimension of probability space of TEPIX returns is derived and finally the stage of development in Tehran stock exchange is determined. © 2005 Elsevier B.V. All rights reserved
- Keywords:
- Correlation theory ; Costs ; Numerical methods ; Probability ; Statistical mechanics ; Detrended fluctuation analysis ; Fractal dimension ; Hurst exponent ; Lévy distributions ; Long memory ; R/S analysis ; Fractals
- Source: Physica A: Statistical Mechanics and its Applications ; Volume 356, Issue 2-4 , 2005 , Pages 609-627 ; 03784371 (ISSN)
- URL: https://www.sciencedirect.com/science/article/abs/pii/S0378437105002281