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

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.

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Received 17 October 1998 and Received in final form 2 November 1998

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Ivanova, K., Ausloos, M. Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate. Eur. Phys. J. B 8, 665–669 (1999). https://doi.org/10.1007/s100510050734

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