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MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS

Year 2013, Volume: 5 Issue: 1, 108 - 118, 01.06.2013

Feleknaz Dilek Terzi Gazanfer Ünal

Abstract

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.

Keywords

Gold Multifractal MF-DFA WTMM

References

  • 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
  • M. Ignaccolo, P. Allegrini, P. Grigolini, P. Hamilton, B.J. West, Physica A 336, 622 (2004)
  • Muzy, J. F., Bacry, E. & Arneodo, A. (1994) The multifractal formalism revisited with wavelets. Int. J. Bifurc. Chaos. 4, 245-302. (1994)
  • B. Mandelbrot(1963), “The variation of certain speculative prices”, J. Business 36 pp. 394–419.
  • Ramazan Gencay and Zhaoxia Xu (2003),“Scaling, self-similarity and multifractality in FX markets”, Physica A 323 pp. 578 – 590
  • Rama Cont(2001),”Empirical properties of asset returns: stylized facts and statistical issues”, QUANTITATIVE FINANCE VOLUME 1 pp 223–236
  • K. Matia, Y. Ashkenazy and H.E.Stanley (2003),”Multifractal properties of price fluctuations of stocks and commodities”, Europhys. Lett. 61 pp. 422-428
  • W. Kantelhardt, A. Zschiegner, Koscienlny-Bunde, Havlin, Multifractal detrended fluctuation analysis of nonstationary time series, Physica A316 (2002) 87_114.
  • Struzik. Z. R. (2000) Determining local singularity strengths and their spectra with the wavelet transform. Fractals 8, 163-179
  • 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
  • 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.

Year 2013, Volume: 5 Issue: 1, 108 - 118, 01.06.2013

Feleknaz Dilek Terzi Gazanfer Ünal

Abstract

References

  • 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
  • M. Ignaccolo, P. Allegrini, P. Grigolini, P. Hamilton, B.J. West, Physica A 336, 622 (2004)
  • Muzy, J. F., Bacry, E. & Arneodo, A. (1994) The multifractal formalism revisited with wavelets. Int. J. Bifurc. Chaos. 4, 245-302. (1994)
  • B. Mandelbrot(1963), “The variation of certain speculative prices”, J. Business 36 pp. 394–419.
  • Ramazan Gencay and Zhaoxia Xu (2003),“Scaling, self-similarity and multifractality in FX markets”, Physica A 323 pp. 578 – 590
  • Rama Cont(2001),”Empirical properties of asset returns: stylized facts and statistical issues”, QUANTITATIVE FINANCE VOLUME 1 pp 223–236
  • K. Matia, Y. Ashkenazy and H.E.Stanley (2003),”Multifractal properties of price fluctuations of stocks and commodities”, Europhys. Lett. 61 pp. 422-428
  • W. Kantelhardt, A. Zschiegner, Koscienlny-Bunde, Havlin, Multifractal detrended fluctuation analysis of nonstationary time series, Physica A316 (2002) 87_114.
  • Struzik. Z. R. (2000) Determining local singularity strengths and their spectra with the wavelet transform. Fractals 8, 163-179
  • 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
  • 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.
There are 11 citations in total.

Details

Other ID JA43NH64AY
Journal Section Articles
Authors

Feleknaz Dilek Terzi This is me

Gazanfer Ünal This is me

Publication Date June 1, 2013
Published in Issue Year 2013 Volume: 5 Issue: 1

Cite

APA Terzi, F. D., & Ünal, G. (2013). MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS. International Journal of Economics and Finance Studies, 5(1), 108-118.
AMA Terzi FD, Ünal G. MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS. IJEFS. June 2013;5(1):108-118.
Chicago Terzi, Feleknaz Dilek, and Gazanfer Ünal. “MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS”. International Journal of Economics and Finance Studies 5, no. 1 (June 2013): 108-18.
EndNote Terzi FD, Ünal G (June 1, 2013) MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS. International Journal of Economics and Finance Studies 5 1 108–118.
IEEE F. D. Terzi and G. Ünal, “MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS”, IJEFS, vol. 5, no. 1, pp. 108–118, 2013.
ISNAD Terzi, Feleknaz Dilek - Ünal, Gazanfer. “MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS”. International Journal of Economics and Finance Studies 5/1 (June 2013), 108-118.
JAMA Terzi FD, Ünal G. MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS. IJEFS. 2013;5:108–118.
MLA Terzi, Feleknaz Dilek and Gazanfer Ünal. “MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS”. International Journal of Economics and Finance Studies, vol. 5, no. 1, 2013, pp. 108-1.
Vancouver Terzi FD, Ünal G. MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS. IJEFS. 2013;5(1):108-1.