Cross-correlation of Tehran Stock Exchange indices using multifractal detrended correlation analysis (MF-DXA) Journal Article

Machine summary:

Specifically, the movement from completely random models with a normal distribution towards Levy and multifractal models [1][4][5][6][10][13][14] has led to the creation of multifractal analysis models of detrended fluctuations (MF-DFA)1 in order to detrend the price structure of stocks and conduct a more accurate analysis regarding the impact of events at different scales on the market [2][7][8]. Detrended fluctuation analysis In this research, we have investigated the correlation behavior between various price indices, including the market price index (TEPIX), the industry price index, and the financial index over time. Research Hypothesis There is a scaling behavior in the correlation structure of the returns of the price index and its sub-indices (financial and industry indices), as well as among the sub-indices themselves. According to diagram (3), it is clear that removing the effect of rare events in the industry index has a more significant effect on the correlation structure between the two indices compared to the price index. Relationship between the price index and the industry index under the detrending process In diagrams (5) and (6), we have investigated the structure of (hxy)q in the correlation function between the price index and the financial index. Relationship between the price index and the financial index under detrending In figures (7) and (8), we have investigated the behavior of (hxy)q in the correlation function between the financial and industry indices.