A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate
Publish place: 01st Conference of Future Research
Publish Year: 1385
نوع سند: مقاله کنفرانسی
زبان: English
View: 805
This Paper With 14 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
FUTURING01_068
تاریخ نمایه سازی: 24 شهریور 1387
Abstract:
The miltifractal properties and scaling behaviour of the exchangerate variations of the Iranian rial against the US dollar from a dailyperspective is numerically investigated. For this purpose the multifractaldetrended fluctuation analysis (MF-DFA) is used. Through multifractalanalysis, the scaling exponents, generalized Hurst exponents,generalized fractal dimensions and singularity spectrum are derived.Moreover, contribution of two major sources of multifractality, that is,fat-tailed probability distributions and nonlinear temporal correlationsare studied
Keywords:
Authors
P. Norouzzadeh
Quantitative Analysis Research Group,Farda Development Foundation, Tehran, Iran