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

P. Norouzzadeh

Papers from arXiv.org

Abstract: 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.

Date: 2005-02
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