Pooja Devi*, Pawan Kumar, Ravendra Singh and Sunil Kumar
To study the statistical properties of financial markets there are various methods. We applied multi-fractal detrended cross correlation analysis method to study multi-fractality, efficiency and cross correlation of banking sector of Indian financial market for the period of global financial crisis and demonetization in India. We calculated Hurst exponents and strength of singularity spectrum. We find that variation in strength of multi-fractality is maximum during crisis. We conclude that if there is any crisis or booms in the market then multi-fractality will increase and value of that exponent which measure correlation will also increase for persistent time series
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