https://doi.org/10.1007/s100510050734
Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate
1
Institute of Electronics, Bulgarian Academy of Sciences, Tzarigradko chaussee 72,
Sofia 1784, Bulgaria
2
SUPRAS, Institut de Physique B5, Université de Liège, 4000 Liège, Belgium
Received:
17
October
1998
Revised:
2
November
1998
Published online: 15 April 1999
An estimate of the low 
moment values of the assumed multifractal spectrum of
Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev - USA Dollar
(BGL-USD) exchange rate over a 6
1/2 year time span has been made. The
findings can be compared to the analysis made on 23 foreign currency exchange
rates by Vandewalle and Ausloos but there is a clear indication of some
differences. Comparison to fractional Brownian motion is made. The analysis
shows that these three financial data are not likely fractal but rather multifractal
indeed.
PACS: 05.40.+j – Fluctuation phenomena, random processes, and Brownian motion / 01.75.+m – Science and society
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 1999
