Application of Multifractal Measures to Tehran Price Index

Details Application of Multifractal Measures to Tehran Price Index Application of Multifractal Measures to Tehran Price Index

2004-12-11

arxiv.org/abs/physics/0412067v1

Physics

Data Analysis, Statistics and Probability

19 pages, 6 figures

Scientific paper

10.1016/j.physa.2005.02.046

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.

Affiliated with

Also associated with

No associations

Rating

Application of Multifractal Measures to Tehran Price Index does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Application of Multifractal Measures to Tehran Price Index, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Application of Multifractal Measures to Tehran Price Index will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-263905