the cross-correlation structure of tehran stock exchange indexes by multifractal detrended fluctuation analysis

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.