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The multifractal detrended fluctuation analysis technique is employed toanalyze the time series of gold consumer price index (CPI) and the market trendof three world's highest gold consuming countries, namely China, India andTurkey for the period: 1993-July 2013. Various multifractal variables, such asthe generalized Hurst exponent, the multifractal exponent and the singularityspectrum, are calculated and the results are fitted to the generalized binomialmultifractal (GBM) series that consists of only two parameters. Specialemphasis is given to identify the possible source(s) of multifractality inthese series. Our analysis shows that the CPI series and all three marketseries are of multifractal nature. The origin of multifractality for the CPItime series and Indian market series is found due to a long-range timecorrelation, whereas it is mostly due to the fat-tailed probabilitydistributions of the values for the Chinese and Turkey markets. The GBM modelseries more or less describes all the time series analyzed here.

Multifractal characterization of gold market: a multifractal detrended fluctuation analysis