英文标题：
《Multifractal characterization of gold market: a multifractal detrended
fluctuation analysis》
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作者：
Provash Mali and Amitabha Mukhopadhyay
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最新提交年份：
2015
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英文摘要：
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world\'s highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013. Various multifractal variables, such as the generalized Hurst exponent, the multifractal exponent and the singularity spectrum, are calculated and the results are fitted to the generalized binomial multifractal (GBM) series that consists of only two parameters. Special emphasis is given to identify the possible source(s) of multifractality in these series. Our analysis shows that the CPI series and all three market series are of multifractal nature. The origin of multifractality for the CPI time series and Indian market series is found due to a long-range time correlation, whereas it is mostly due to the fat-tailed probability distributions of the values for the Chinese and Turkey markets. The GBM model series more or less describes all the time series analyzed here.
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中文摘要：
采用多重分形去趋势波动分析技术，分析了黄金消费价格指数（CPI）的时间序列和世界三大黄金消费国，即中国、印度和土耳其在1993年至2013年7月期间的市场趋势。计算了各种多重分形变量，如广义赫斯特指数、多重分形指数和奇异谱，并将结果拟合到仅由两个参数组成的广义二项式多重分形（GBM）序列。特别强调的是确定这些序列中多重分形的可能来源。我们的分析表明，CPI序列和所有三个市场序列都具有多重分形性质。CPI时间序列和印度市场序列的多重分形起源于长期时间相关性，而这主要是由于中国和土耳其市场价值的厚尾概率分布。GBM模型系列或多或少描述了此处分析的所有时间序列。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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