A multifractal detrended fluctuation analysis of trading behavior of individual and institutional traders in Tehran stock market

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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