Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate
- 498 Downloads
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.
Unable to display preview. Download preview PDF.