TY  - JOUR
TT  - MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS
AU  - Terzi, Feleknaz Dilek
AU  - Ünal, Gazanfer
PY  - 2013
DA  - June
JF  - International Journal of Economics and Finance Studies
JO  - IJEFS
PB  - Sosyal Bilimler Araştırmaları Derneği
WT  - DergiPark
SN  - 1309-8055
SP  - 108
EP  - 118
VL  - 5
IS  - 1
KW  - Gold
KW  - Multifractal
KW  - MF-DFA
KW  - WTMM
N2  - In this paper, we investigate the multifractal features of a gold market which is known as the safe harbour in the face of political and economic chaos. We performed two different methodologies which are Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) in order to investigate the multifractality of Gold spot price/ounce. After given some brief introduction, then we explain the particular implementation of the above methods and compare their effectiveness. Finally, we conclude that gold price series are multifractal by these methods.
CR  - Yudong Wang, Yu Wei, Chongfeng Wu, Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis, Physica A 390 (2011) 817–827
CR  - M. Ignaccolo, P. Allegrini, P. Grigolini, P. Hamilton, B.J. West, Physica A 336, 622 (2004)
CR  - Muzy, J. F., Bacry, E. & Arneodo, A. (1994) The multifractal formalism revisited with wavelets. Int. J. Bifurc. Chaos. 4, 245-302. (1994)
CR  - B. Mandelbrot(1963), “The variation of certain speculative prices”, J. Business 36 pp. 394–419.
CR  - Ramazan Gencay and Zhaoxia Xu (2003),“Scaling, self-similarity and multifractality in FX markets”, Physica A 323 pp. 578 – 590
CR  - Rama Cont(2001),”Empirical properties of asset returns: stylized facts and statistical issues”, QUANTITATIVE FINANCE VOLUME 1 pp 223–236
CR  - K. Matia, Y. Ashkenazy and H.E.Stanley (2003),”Multifractal properties of price fluctuations of stocks and commodities”, Europhys. Lett. 61 pp. 422-428
CR  - W. Kantelhardt, A. Zschiegner, Koscienlny-Bunde, Havlin, Multifractal detrended fluctuation analysis of nonstationary time series, Physica A316 (2002) 87_114.
CR  - Struzik. Z. R. (2000) Determining local singularity strengths and their spectra with the wavelet transform. Fractals 8, 163-179
CR  - Andrejs Puckovs, Andrejs Matvejevs, Wavelet Transform Modulus Maxima Approach for World Stock Index Multifractal Analysis.University,Information Technology and Management Science. pp76-86. Espen Ihlen (2012),”Introduction to multifractal detrended fluctuation analysis in
CR  - Matlab”,Frontiers in Physiology K. Matia, Y. Ashkenazy, H.E. Stanley, Multifractal properties of price fluctuations of stock and commodities, Europhysics Letter 61 (2003) 422–428.
UR  - https://dergipark.org.tr/en/pub/ijefs/issue//275541
L1  - https://dergipark.org.tr/en/download/article-file/256744
ER  -