Application of multifractal measures to Tehran price index

P. Norouzzadeh and G.R. Jafari

Physica A: Statistical Mechanics and its Applications, 2005, vol. 356, issue 2, 609-627

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.

Keywords: R/S analysis; Hurst exponent; Long memory; Detrended fluctuation analysis; Fractal dimension; Lévy distributions (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:356:y:2005:i:2:p:609-627

DOI: 10.1016/j.physa.2005.02.046

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