A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate

Details A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate

2005-02-27

arxiv.org/abs/physics/0502150v1

Physics

Data Analysis, Statistics and Probability

7 eps figures

Scientific paper

10.1016/j.physa.2005.11.019

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.

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