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A multifractal detrended fluctuation analysis of trading behavior of individual and institutional traders in Tehran stock market

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  • Bolgorian, Meysam
  • Raei, Reza

Abstract

Employing the multifractal detrended fluctuation analysis (MF-DFA), the multifractal properties of trading behavior of individual and institutional traders in the Tehran Stock Exchange (TSE) are numerically investigated. Using daily trading volume time series of these two categories of traders, the scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Furthermore, two main sources of multifractality, i.e. temporal correlations and fat-tailed probability distributions are also examined. We also compare our results with data of S&P 500. Results of this paper suggest that for both classes of investors in TSE, multifractality is mainly due to long-range correlation while for S&P 500, the fat-tailed probability distribution is the main source of multifractality.

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  • Bolgorian, Meysam & Raei, Reza, 2011. "A multifractal detrended fluctuation analysis of trading behavior of individual and institutional traders in Tehran stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3815-3825.
    • Handle: RePEc:eee:phsmap:v:390:y:2011:i:21:p:3815-3825
    DOI: 10.1016/j.physa.2011.06.017
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    References listed on IDEAS

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    Cited by:

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    4. Hongli Niu & Jun Wang, 2014. "Phase and multifractality analyses of random price time series by finite-range interacting biased voter system," Computational Statistics, Springer, vol. 29(5), pages 1045-1063, October.
    5. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016. "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 357-365.

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