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Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective

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  • Dutta, Srimonti
  • Ghosh, Dipak
  • Chatterjee, Sucharita

Abstract

The manuscript studies autocorrelation and cross correlation of SENSEX fluctuations and Forex Exchange Rate in respect to Indian scenario. Multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross correlation analysis (MFDXA) were employed to study the correlation between the two series. It was observed that the two series are strongly cross correlated. The change of degree of cross correlation with time was studied and the results are interpreted qualitatively.

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  • Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
    • Handle: RePEc:eee:phsmap:v:463:y:2016:i:c:p:188-201
    DOI: 10.1016/j.physa.2016.07.027
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