Application of Multifractal Measures to TehranPrice Index
عنوان مقاله: Application of Multifractal Measures to TehranPrice Index
شناسه ملی مقاله: FUTURING01_069
منتشر شده در اولین همایش آینده پژوهی در سال 1385
شناسه ملی مقاله: FUTURING01_069
منتشر شده در اولین همایش آینده پژوهی در سال 1385
مشخصات نویسندگان مقاله:
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
خلاصه مقاله:
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
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
کلمات کلیدی: R/S analysis, Hurst exponent, Long memory, DetrendedFluctuation Analysis, Multifractals, L´evy Distributions
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/360634/