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Application of multifractal measures to Tehran price index

Listed author(s):
  • Norouzzadeh, P.
  • Jafari, G.R.
Registered author(s):

    We report an empirical study of Tehran price index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo's method), detrended fluctuation analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of TEPIX returns is specified, long-memory effect or long-range correlation property in this market is investigated, fractal dimension of probability space of TEPIX returns is derived and finally the stage of development in Tehran stock exchange is determined.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437105002281
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 356 (2005)
    Issue (Month): 2 ()
    Pages: 609-627

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    Handle: RePEc:eee:phsmap:v:356:y:2005:i:2:p:609-627
    DOI: 10.1016/j.physa.2005.02.046
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    1. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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