Tatijana Stošić

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Keywords: Stock market index Price change Volume change Multifractal detrended fluctuation analysis Multifractal detrended cross-correlation analysis a b s t r a c t We study auto-correlations and cross-correlations of daily price changes and daily volume changes of thirteen global stock market indices, using multifractal detrended fluctuation analysis(More)
In recent decades multifractal analysis has been successfully applied to characterize the complex temporal and spatial organization of such diverse natural phenomena as heartbeat dynamics, the dendritic shape of neurons, retinal vessels, rock fractures, and intricately shaped volcanic ash particles. The characterization of multifractal properties of closed(More)
Keywords: Currency rate Managed float Independent float Market efficiency Multifractal detrended fluctuation analysis a b s t r a c t We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries,(More)
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