Abstract
Long-range correlation and fluctuation in the gold market time series of the worldʼs two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985–2013 we observe a long-range persistence of memory in the sequences of maxima (minima) of returns in successive time windows of fixed length, but the series, as a whole, are found to be uncorrelated. Multifractal analysis for these series as well as for the sequences of maxima (minima) is carried out in terms of the multifractal detrended fluctuation analysis (MF-DFA) method. We observe a weak multifractal structure for the original series that mainly originates from the fat-tailed probability distribution function of the values, and the multifractal nature of the original time series is enriched into their sequences of maximal (minimal) returns. A quantitative measure of multifractality is provided by using a set of ‘complexity parameters’.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
