dorsal/arxiv
View SchemaApplication of Multifractal Measures to Tehran Price Index
| Authors | P. Norouzzadeh, G. R. Jafari |
|---|---|
| Categories | |
| ArXiv ID | physics/0412067 |
| URL | https://arxiv.org/abs/physics/0412067 |
| DOI | 10.1016/j.physa.2005.02.046 |
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.
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"abstract": "We report an empirical study of Tehran Price Index (TEPIX). To analyze our\ndata we use various methods like as, rescaled range analysis ($R/S$), modified\nrescaled range analysis (Lo\u0027s method), Detrended Fluctuation Analysis (DFA) and\ngeneralized Hurst exponents analysis. Based on numerical results, the scaling\nrange of TEPIX returns is specified, long memory effect or long range\ncorrelation property in this market is investigated, characteristic exponent\nfor probability distribution function of TEPIX returns is derived and finally\nthe stage of development in Tehran Stock Exchange is determined.",
"arxiv_id": "physics/0412067",
"authors": [
"P. Norouzzadeh",
"G. R. Jafari"
],
"categories": [
"physics.data-an",
"q-fin.ST"
],
"doi": "10.1016/j.physa.2005.02.046",
"title": "Application of Multifractal Measures to Tehran Price Index",
"url": "https://arxiv.org/abs/physics/0412067"
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