Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate

  • K. Ivanova
  • M. Ausloos

Abstract:

An estimate of the low q-moment values of the assumed multifractal spectrum of Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev - USA Dollar (BGL-USD) exchange rate over a 6 1/2 year time span has been made. The findings can be compared to the analysis made on 23 foreign currency exchange rates by Vandewalle and Ausloos but there is a clear indication of some differences. Comparison to fractional Brownian motion is made. The analysis shows that these three financial data are not likely fractal but rather multifractal indeed.

PACS. 05.40.+j Fluctuation phenomena, random processes, and Brownian motion - 01.75.+m Science and society 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© EDP Sciences, Springer-Verlag 1999

Authors and Affiliations

  • K. Ivanova
    • 1
  • M. Ausloos
    • 2
  1. 1.Institute of Electronics, Bulgarian Academy of Sciences, Tzarigradko chaussee 72, Sofia 1784, BulgariaBG
  2. 2.SUPRAS, Institut de Physique B5, Université de Liège, 4000 Liège, BelgiumBE

Personalised recommendations