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Multifractal detrended cross-correlation analysis of gold price and SENSEX

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  • Dutta, Srimonti
  • Ghosh, Dipak
  • Samanta, Shukla

Abstract

This paper studies the variation of autocorrelation and cross correlation coefficients of gold price and SENSEX fluctuations with time. The paper uses MFDFA and MFDXA methodologies. SENSEX plays a more dominant role in the variation of cross correlations. It is observed that the cross correlation coefficients can be linked with the stability of the market. The market is most stable when the two series are most correlated.

Suggested Citation

  • Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
    • Handle: RePEc:eee:phsmap:v:413:y:2014:i:c:p:195-204
    DOI: 10.1016/j.physa.2014.06.081
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