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Performance of multifractal detrended fluctuation analysis on short time series

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  • Juan Luis Lopez
  • Jesus Guillermo Contreras
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    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.

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    File URL: http://arxiv.org/pdf/1311.2278
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1311.2278.

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    Date of creation: Nov 2013
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    Publication status: Published in Phys. Rev. E 87, 022918 (2013)
    Handle: RePEc:arx:papers:1311.2278

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    Web page: http://arxiv.org/

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    Cited by:
    1. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.

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