Multifractal detrended cross-correlation analysis of gold price and SENSEX

Srimonti Dutta, Dipak Ghosh and Shukla Samanta

Physica A: Statistical Mechanics and its Applications, 2014, vol. 413, issue C, 195-204

Abstract: 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.

Keywords: Non-stationary time series; Multifractals; Cross correlation; Auto-correlation; Hurst exponent (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:413:y:2014:i:c:p:195-204

DOI: 10.1016/j.physa.2014.06.081

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