Multifractal analysis of Indian public sector enterprises
Multifractal analysis of Indian public sector enterprises
| dc.contributor.author | Charutha, S. | |
| dc.contributor.author | Gopal Krishna, M. | |
| dc.contributor.author | Manimaran, P. | |
| dc.date.accessioned | 2022-03-27T11:46:35Z | |
| dc.date.available | 2022-03-27T11:46:35Z | |
| dc.date.issued | 2020-11-01 | |
| dc.description.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. | |
| dc.identifier.citation | Physica A: Statistical Mechanics and its Applications. v.557 | |
| dc.identifier.issn | 03784371 | |
| dc.identifier.uri | 10.1016/j.physa.2020.124881 | |
| dc.identifier.uri | https://www.sciencedirect.com/science/article/abs/pii/S0378437120304568 | |
| dc.identifier.uri | https://dspace.uohyd.ac.in/handle/1/14699 | |
| dc.subject | Cross-correlation | |
| dc.subject | Multifractal | |
| dc.subject | Price change | |
| dc.subject | Time series | |
| dc.subject | Volume change | |
| dc.title | Multifractal analysis of Indian public sector enterprises | |
| dc.type | Journal. Article | |
| dspace.entity.type |
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