Performance of multifractal detrended fluctuation analysis on short time series

Juan Luis Lopez and Jesus Guillermo Contreras

Papers from arXiv.org

Abstract: The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicability of the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.

Date: 2013-11
New Economics Papers: this item is included in nep-ets
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Published in Phys. Rev. E 87, 022918 (2013)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.2278

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