Multifractal detrended fluctuation analysis of SENSEX fluctuation in the Indian stock market
Keyword(s):
The fluctuation of SENSEX in the Indian stock market for the period Jan 2003–Dec 2009 is studied using the multifractal detrended fluctuation analysis (MFDFA) approach. The effect of the fall in the stock market in 2008 is also investigated. The data exhibits that the nonstationary time series of SENSEX fluctuations are multifractal in nature. An increase in the degree of multifractality prior to the anomalous behaviour in the SENSEX values is also observed. The increase in the degree of correlation for the period 2007–2009 is also responsible for the meteoric rise and the catastrophic fall in the values of SENSEX.
2002 ◽
Vol 316
(1-4)
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pp. 87-114
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2019 ◽
Vol 521
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pp. 225-235
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2013 ◽
Vol 59
(1)
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pp. 1-6
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2020 ◽
Vol 139
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pp. 110063
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2009 ◽
Vol 18
(5)
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pp. 271-276
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2021 ◽