Fractal analysis of stock exchange indices in Turkey

Abstract

The purpose of this study is to investigate possible fractal behavior in Istanbul Stock Exchange (BIST) indices. In particular evidence of chaotic and fractal behavior will be presented. To be able to analyze monofractality of given indices we are going to use the Higuchi and Katz methods. In addition to this, we analyze the chaotic behavior of the investigated indices using Rescaled Range Analysis (R/S), Detrended Fluctuation Analysis (DFA) and Power Spectrum (Fourier Transform). To be able to check whether financial time series that we work on are multifractal or not, we apply the well-known methods Multifractal Detrended Fluctuation Analysis (MF-DFA) and Wavelet Transform Modulus Maxima (WTMM). In addition to the analysis of stock market indices, we apply the same analysis to currency closing prices (Euro and Dollar) to check whether their behavior is similar to that of stock market indices or not.