This research investigates multifractality in the Tehran Stock-Exchange index TEPIX. By analyzing the TSE price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and log rang correlations. In the Tehran Stock Exchange, prices have a correlation and memory; therefore expert investors can achieve a more return.
Jafari,G , Izadinia,N and pirouti,J . (2012). MultiFractal - Detrended Fluctuation Analysis of Total Return Index in Tehran stock Exchange. Quarterly Journal of Securities Exchange, 4(14), 115-134.
MLA
Jafari,G , , Izadinia,N , and pirouti,J . "MultiFractal - Detrended Fluctuation Analysis of Total Return Index in Tehran stock Exchange", Quarterly Journal of Securities Exchange, 4, 14, 2012, 115-134.
HARVARD
Jafari G, Izadinia N, pirouti J. (2012). 'MultiFractal - Detrended Fluctuation Analysis of Total Return Index in Tehran stock Exchange', Quarterly Journal of Securities Exchange, 4(14), pp. 115-134.
CHICAGO
G Jafari, N Izadinia and J pirouti, "MultiFractal - Detrended Fluctuation Analysis of Total Return Index in Tehran stock Exchange," Quarterly Journal of Securities Exchange, 4 14 (2012): 115-134,
VANCOUVER
Jafari G, Izadinia N, pirouti J. MultiFractal - Detrended Fluctuation Analysis of Total Return Index in Tehran stock Exchange. Quarterly Journal of Securities Exchange. 2012;4(14):115-134 (In Persian).
