• Title of article

    Multifractal detrended cross-correlation analysis of gold price and SENSEX

  • Author/Authors

    Dutta، نويسنده , , Srimonti and Ghosh، نويسنده , , Dipak and Samanta، نويسنده , , Shukla، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2014
  • Pages
    10
  • From page
    195
  • To page
    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
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2014
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    1738772

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1738772