Multifractal properties of the Indian financial market

Sunil Kumar and Nivedita Deo

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1593-1602

Abstract: We investigate the multifractal properties of the logarithmic returns of the Indian financial indices (BSE & NSE) by applying the multifractal detrended fluctuation analysis. The results are compared with that of the US S&P 500 index. Numerically we find that qth-order generalized Hurst exponents h(q) and τ(q) change with the moments q. The nonlinear dependence of these scaling exponents and the singularity spectrum f(α) show that the returns possess multifractality. By comparing the MF-DFA results of the original series to those for the shuffled series, we find that the multifractality is due to the contributions of long-range correlations as well as the broad probability density function. The financial markets studied here are compared with the Binomial Multifractal Model (BMFM) and have a smaller multifractal strength than the BMFM.

Keywords: Econophysics; Stock markets; Hurst exponent; Multifractality (search for similar items in EconPapers)
Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (45)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1593-1602

DOI: 10.1016/j.physa.2008.12.017

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