MULTIFRACTAL BEHAVIOUR IN GOLD PRICES BY USING MF-DFA AND WTMM METHODS

Abstract

In this paper, we investigate the multifractal features of a gold market which is known as the safe harbour in the face of political and economic chaos. We performed two different methodologies which are Multifractal Detrended Fluctuation Analysis (MF-DFA) and the Wavelet Transform Modulus Maxima (WTMM) in order to investigate the multifractality of Gold spot price/ounce. After given some brief introduction, then we explain the particular implementation of the above methods and compare their effectiveness. Finally, we conclude that gold price series are multifractal by these methods.