K. Ivanova et M. Ausloos, Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate, EUR PHY J B, 8(4), 1999, pp. 665-669
An estimate of the low q-moment values of the assumed multifractal spectrum
of Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev - USA
Dollar (BGL-USD) exchange rate over a 6 1/2 year time span has been made.
The findings can be compared to the analysis made on 23 foreign currency ex
change rates by Vandewalle and Ausloos but there is a clear indication of s
ome differences. Comparison to fractional Brownian motion is made. The anal
ysis shows that these three financial data are not likely fractal but rathe
r multifractal indeed.