Application of Multifractal Measures to TehranPrice Index
Publish place: 01st Conference of Future Research
Publish Year: 1385
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
FUTURING01_069
تاریخ نمایه سازی: 24 شهریور 1387
Abstract:
We report an empirical study of Tehran Price Index (TEPIX). Toanalyze our data we use various methods like as, rescaled range analysis(R/S), modified rescaled range analysis (Lo’s method), DetrendedFluctuation Analysis (DFA) and generalized Hurst exponents analysis.Based on numerical results, the scaling range of TEPIX returnsis specified, long memory effect or long range correlation property inthis market is investigated, characteristic exponent for probability distributionfunction of TEPIX returns is derived and finally the stage ofdevelopment in Tehran Stock Exchange is determined
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Authors
P. Norouzzadeh
Quantitative Analysis Research Group,Farda Development Organization, Tehran, Iran
G.R. Jafari
Department of Physics, Sharif University of Technology,P.O. Box ۱۱۳۶۵-۹۱۶۱, Tehran, Iran