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Multifractal Analysis in Tehran Stock Exchange: MFDFA Approach

Hashemi, Navid | 2018

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 51563 (44)
  4. University: Sharif University of Technology
  5. Department: Financial Economics
  6. Advisor(s): Zamani, Shiva
  7. Abstract:
  8. Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this thesis analyzes the multifractality in the Tehran Stock Exchange. This analysis is performed with daily data from Tepix index (Tehran stock exchange's main index) and other three highly marketable stocks in the Tehran Stock Exchange (Pharma index, Oil index and Metal index), wich making up 1782 observations for each index in the period from March 21, 2011 to Aug 22, 2018. We found that the studied index prices are multifractal, but that the multifractality degree is not the same for all the index. The use of shuffled and surrogated series indicates that for the period and the actions considered both the long-range correlations and the distribution (fat tails) strongly influence the multifractality. Then we introduced a new trading strategy based on tow Hurst exponent moving average. We traded 20 stocks in daily time frame and we found that trading by this strategy can be more profitable than buy and hold the stock for long time
  9. Keywords:
  10. General Autoregressive Conditional Heteroskedastic (GARCH) ; Fractals ; Hurst Exporent ; Multifractal Detrended Fluctuation Analysis (MFDFA) ; Tehran Stock Exchange ; Multifractal Model of Asset Returns

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