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A multifractal detrended fluctuation description of Iranian rial-US dollar exchange rate

Norouzzadeh, P ; Sharif University of Technology | 2006

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  1. Type of Document: Article
  2. DOI: 10.1016/j.physa.2005.11.019
  3. Publisher: 2006
  4. Abstract:
  5. 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. © 2005 Elsevier B.V. All rights reserved
  6. Keywords:
  7. Correlation methods ; Fractals ; Probability distributions ; Regional planning ; Statistical mechanics ; Financial markets ; Multifractality ; Rial-dollar exchange rate ; Scaling ; Inventory control
  8. Source: Physica A: Statistical Mechanics and its Applications ; Volume 367 , 2006 , Pages 328-336 ; 03784371 (ISSN)
  9. URL: https://www.sciencedirect.com/science/article/pii/S0378437105012112