Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective

• Auto and cross correlations of SENSEX and FX rate for Indian currency.
• MFDFA and MFDXA methodologies were employed.
• Degree of correlation with time is studied.
• Results are found to be consistent with data and explained qualitatively.

The manuscript studies autocorrelation and cross correlation of SENSEX fluctuations and Forex Exchange Rate in respect to Indian scenario. Multifractal detrended fluctuation analysis (MFDFA) and multifractal detrended cross correlation analysis (MFDXA) were employed to study the correlation between the two series. It was observed that the two series are strongly cross correlated. The change of degree of cross correlation with time was studied and the results are interpreted qualitatively.