Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective

Srimonti Dutta, Dipak Ghosh and Sucharita Chatterjee

Physica A: Statistical Mechanics and its Applications, 2016, vol. 463, issue C, 188-201

Abstract: The manuscript studies autocorrelation and cross correlation of SENSEX fluctuations and Forex Exchange Rate in respect to Indian scenario. Multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross correlation analysis (MFDXA) were employed to study the correlation between the two series. It was observed that the two series are strongly cross correlated. The change of degree of cross correlation with time was studied and the results are interpreted qualitatively.

Keywords: Econophysics; Time series analysis; SENSEX; Foreign Exchange; Cross correlation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:463:y:2016:i:c:p:188-201

DOI: 10.1016/j.physa.2016.07.027

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