Long-range memory and multifractality in gold markets

TL;DR

This paper investigates long-range correlations and multifractality in gold market time series from China and India, revealing persistent memory in maxima and minima sequences and characterizing their multifractal properties using MF-DFA.

Contribution

It provides a detailed multifractal analysis of gold market data, highlighting the origin of multifractality and its enrichment in maxima and minima sequences.

Findings

Long-range persistence in maxima/minima sequences

Weak multifractality mainly from fat-tailed distributions

Multifractal nature is enriched in maxima/minima sequences

Abstract

Long-range correlation and fluctuation in the gold market time series of world's two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985-2013 we observe a long-range persistence of memory in the sequences of maxima (minima) of returns in successive time windows of fixed length, but the series as a whole are found to be uncorrelated. Multifractal analysis for these series as well as for the sequences of maxima (minima) is carried out in terms of the multifractal detrended fluctuation analysis (MF-DFA) method. We observe a weak multifractal structure for the original series that is mainly originated from the fat-tailed probability distribution function of the values, and the multifractal nature of the original time series is enriched into their sequences of maximal (minimal) returns. A quantitative measure of multifractality is provided by using a set of "complexity parameters".