A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate
عنوان مقاله: A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate
شناسه ملی مقاله: FUTURING01_068
منتشر شده در اولین همایش آینده پژوهی در سال 1385
شناسه ملی مقاله: FUTURING01_068
منتشر شده در اولین همایش آینده پژوهی در سال 1385
مشخصات نویسندگان مقاله:
P. Norouzzadeh - Quantitative Analysis Research Group,Farda Development Foundation, Tehran, Iran
خلاصه مقاله:
P. Norouzzadeh - Quantitative Analysis Research Group,Farda Development Foundation, Tehran, Iran
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
کلمات کلیدی: Multifractality, Scaling, Rial-dollar exchange rate, Financialmarkets
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/360633/