A multifractal detrended fluctuation analysis of trading behavior of individual and institutional traders in Tehran stock market |
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| Authors: | Meysam Bolgorian Reza Raei |
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| Institution: | 1. Department of Economics and Finance, SEM, Tongji University, Shanghai 200093, China;2. Center for Resource Economics and Management, Northwest A&F University, Yangling 712100, China;3. Department of Economics, Auckland University of Technology, Auckland, New Zealand;4. School of Economics, Jinan University, Jinan, China;1. Centro de Informática, Universidade Federal de Pernambuco, Av. Luiz Freire s/n, 50670-901, Recife, PE, Brazil;2. Departamento de Estatística e Informática, Universidade Federal Rural de Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife, PE, Brazil;3. Center for Polymer Studies and Department of Physics, Boston University, MA 02215, United States |
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| Abstract: | Employing the multifractal detrended fluctuation analysis (MF-DFA), the multifractal properties of trading behavior of individual and institutional traders in the Tehran Stock Exchange (TSE) are numerically investigated. Using daily trading volume time series of these two categories of traders, the scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Furthermore, two main sources of multifractality, i.e. temporal correlations and fat-tailed probability distributions are also examined. We also compare our results with data of S&P 500. Results of this paper suggest that for both classes of investors in TSE, multifractality is mainly due to long-range correlation while for S&P 500, the fat-tailed probability distribution is the main source of multifractality. |
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