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

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  • P. Norouzzadeh

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.

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  • P. Norouzzadeh, 2005. "A Multifractal Detrended Fluctuation Description of Iranian Rial-US Dollar Exchange Rate," Papers physics/0502150, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0502150
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    File URL: http://arxiv.org/pdf/physics/0502150
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    Cited by:

    1. Ruan, Qingsong & Cui, Hao & Fan, Liming, 2020. "China’s soybean crush spread: Nonlinear analysis based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).

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