A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate
A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate
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DOI：
10.1016/j.physa.2005.11.019
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发表时间：
2006-07-15
影响因子：
3.3
通讯作者：
Rahmani, B.
中科院分区：
文献类型：
--
作者：
Norouzzadeh, P.;Rahmani, B.
从每日的角度来看，伊朗里亚尔对美元的汇率变化的半分形性质和标度行为进行了数值研究。为此，使用多重分形去趋势波动分析（MF-DFA）。通过多重分形分析，导出了标度指数、广义Hurst指数、广义分形维数和奇异谱。此外，研究了多重分形的两个主要来源，即厚尾概率分布和非线性时间相关的贡献。(c)2005 Elsevier B. V.保留所有权利。
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, 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 correlations are studied. (c) 2005 Elsevier B.V. All rights reserved.