Application of Multifractal Measures to Tehran Price Index

P. Norouzzadeh and G. R. Jafari

Papers from arXiv.org

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, characteristic exponent for probability distribution function of TEPIX returns is derived and finally the stage of development in Tehran Stock Exchange is determined.

Date: 2004-12
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/physics/0412067 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0412067

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().