MULTIFRACTAL ANALYSIS OF THE GOLD MARKET

Salman Abarghouei Nejad, Tatijana Stosic () and Borko Stosic ()
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Salman Abarghouei Nejad: Departamento de Física, Universidade, Federal de Pernambuco, Av. Prof. Moraes Rego 1235, Cidade Universitária, 50670-901 Recife/PE, Brazil
Tatijana Stosic: Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife/PE, Brazil
Borko Stosic: Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife/PE, Brazil

FRACTALS (fractals), 2021, vol. 29, issue 01, 1-9

Abstract: In this paper, we investigate the efficiency of gold market through time evolution of multifractal spectrum parameters (position of maximum, width and asymmetry), by applying multifractal detrended fluctuation analysis in sliding windows of 4, 10 and 20 years. We find that geopolitical and economic events can decrease market efficiency by inducing changes in gold price dynamics toward increased persistency and stronger multifractality with dominance of large fluctuations. For all analyzed geopolitical events and for all windows sizes, we found stronger multifractality of underlying stochastic process, indicated by the increase in the spectrum width W.

Keywords: Gold Market; Multifractal; Geopolitical; Economic Events (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S0218348X21500109

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