Abstract
In this paper, we apply the methods, Multifractal Detrended Fluctuation Analysis (MF-DFA) and Multifractal Detrended Cross-Correlation Analysis (MF-DXA) to study the auto correlation/cross-correlation behaviour and multifractal characteristics on twenty three stock market indices of Department of Public Enterprises (DPE), India. The auto correlation and cross-correlation have been measured from the Hurst scaling exponents and the singularity spectrum quantitatively. From the calculated power law scaling exponents we observe the volume and price-volume change time series possess strong anti-persistent behaviour. The price change of different time series shows persistent, stochastic and anti-persistent behaviour. We also observe the existence of multifractal characteristics in all price, volume and price-volume change time series. The price changes in the time series shows high complexity compared to volume and cross correlated price-volume.
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 callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: 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.
