Univrsity Of Tehran Press Financial Research Journal 1024-8153 14 1 2012 07 22 The Cross-correlation Structure of Tehran Stock Exchange Indexes by Multifractal Detrended Fluctuation Analysis The Cross-correlation Structure of Tehran Stock Exchange Indexes by Multifractal Detrended Fluctuation Analysis 55 68 36635 10.22059/jfr.2012.36635 FA Reza Tehrani The Cross-correlation Structure of Tehran Stock Exchange Indexes by Multifractal Detrended Fluctuation Analysis Ali Namaki Ph.D. Student, University of Tehran, Iran 0000-0003-4167-6472 Leyla Hedayatifar Ph.D. Student, Alzahra University Journal Article 2014 03 16 One of the latest approaches for analyzing the coupled time series is MF-DXA. This technique has been used in many disciplines such as finance. In this paper, we have analyzed Tehran Stock Exchange indexes by MF-DXA and have found a scaling behavior between the Industrial, Financial and Price indexes. By surrogating, we could see that the effects of low probability events in Industrial and Financial index are more important than the Price index. In essence, we have found that the today return of each index depends on its previous returns and on the previous returns of the other indexes. This technique is useful in risk and portfolio managements. One of the latest approaches for analyzing the coupled time series is MF-DXA. This technique has been used in many disciplines such as finance. In this paper, we have analyzed Tehran Stock Exchange indexes by MF-DXA and have found a scaling behavior between the Industrial, Financial and Price indexes. By surrogating, we could see that the effects of low probability events in Industrial and Financial index are more important than the Price index. In essence, we have found that the today return of each index depends on its previous returns and on the previous returns of the other indexes. This technique is useful in risk and portfolio managements. https://jfr.ut.ac.ir/article_36635_9b1e7e19e15ccae270301f3b48cef0f4.pdf