A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate

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:

Multifractality , Scaling , Rial-dollar exchange rate , Financialmarkets