Provash Mali

Multifractal characterization of gold market: A multifractal detrended fluctuation analysis

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.

Multifractal characterization of global temperature anomalies

The global monthly temperature anomaly time series for the period 1850–2012 has been investigated in terms of multifractal detrended fluctuation analysis (MF-DFA). Various multifractal observables, such as the generalized Hurst exponent, the multifractal exponent, and the singularity spectrum, are extracted and are fitted to a generalized binomial multifractal model consists of only two free parameters. The results of this analysis give a clear indication of the presence of long-term memory in the global temperature anomaly time series which causes multifractal pattern in the data. We investigate the possible other source(s) of multifractality in the series by random shuffling as well as by surrogating the original series and find that the probability density function also contributes to the observed multifractal pattern along with the long-memory effect. Surprisingly, the temperature anomaly time series are well described by the two-parameter multifractal binomial model.

FLUCTUATION OF GOLD PRICE IN INDIA VERSUS GLOBAL CONSUMER PRICE INDEX

The time series of gold price in the Indian market and the global consumer price index for the period of January 1985 to June 2013 are analyzed in terms of the multifractal detrended fluctuation analysis (MF-DFA). Multifractal variables, such as the generalized Hurst exponent, the multifractal mass exponent, the singularity spectrum, are extracted for both the series. Special emphasis is given on the possible source(s) of correlations in these series. The multifractal results are fitted to the generalized binomial multifractal model consists of only two parameters. Our analysis show that the multifractal nature of the Indian gold market time series and the global consumer price index series is due to both the long-range temporal correlation and the fat-tailed probability density function of the values. Surprisingly, the series are well described by the two-parameter binomial multifractal model used.

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Wavelet Analysis of Shower Track Distribution in High-Energy Nucleus-Nucleus Collisions

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