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Multifractal Analysis Of The Gold Market

Author

Listed:
  • SALMAN ABARGHOUEI NEJAD

    (Departamento de Física, Universidade, Federal de Pernambuco, Av. Prof. Moraes Rego 1235, Cidade Universitária, 50670-901 Recife/PE, Brazil)

  • TATIJANA STOSIC

    (Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife/PE, Brazil)

  • BORKO STOSIC

    (Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife/PE, Brazil)

Abstract

In this paper, we investigate the efficiency of gold market through time evolution of multifractal spectrum parameters (position of maximum, width and asymmetry), by applying multifractal detrended fluctuation analysis in sliding windows of 4, 10 and 20 years. We find that geopolitical and economic events can decrease market efficiency by inducing changes in gold price dynamics toward increased persistency and stronger multifractality with dominance of large fluctuations. For all analyzed geopolitical events and for all windows sizes, we found stronger multifractality of underlying stochastic process, indicated by the increase in the spectrum width W.

Suggested Citation

  • Salman Abarghouei Nejad & Tatijana Stosic & Borko Stosic, 2021. "Multifractal Analysis Of The Gold Market," FRACTALS (fractals), World Scientific Publishing Co. Pte. Ltd., vol. 29(01), pages 1-9, February.
    • Handle: RePEc:wsi:fracta:v:29:y:2021:i:01:n:s0218348x21500109
    DOI: 10.1142/S0218348X21500109
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    Cited by:

    1. Ghazani, Majid Mirzaee & Khosravi, Reza & Caporin, Massimiliano, 2023. "Analyzing interconnection among selected commodities in the 2008 global financial crisis and the COVID-19 pandemic," Resources Policy, Elsevier, vol. 80(C).

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