Multifractal detrended cross-correlation analysis of gold price and SENSEX

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.

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Year of publication:	2014
Authors:	Dutta, Srimonti ; Ghosh, Dipak ; Samanta, Shukla
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 413.2014, C, p. 195-204
Publisher:	Elsevier
Subject:	Non-stationary time series \| Multifractals \| Cross correlation \| Auto-correlation \| Hurst exponent

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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