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گواهی نمایه سازی مقاله A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate

عنوان مقاله: A Multifractal Detrended Fluctuation Descriptionof Iranian Rial-US Dollar Exchange Rate
شناسه (COI) مقاله: FUTURING01_068
منتشر شده در اولین همایش آینده پژوهی در سال ۱۳۸۵
مشخصات نویسندگان مقاله:

P. Norouzzadeh - Quantitative Analysis Research Group,Farda Development Foundation, Tehran, Iran

خلاصه مقاله:
The miltifractal properties and scaling behaviour of the exchangerate variations of the Iranian rial against the US dollar from a dailyperspective is numerically investigated. For this purpose the multifractaldetrended fluctuation analysis (MF-DFA) is used. Through multifractalanalysis, 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 correlationsare studied

کلمات کلیدی:
Multifractality, Scaling, Rial-dollar exchange rate, Financialmarkets

صفحه اختصاصی مقاله و دریافت فایل کامل: https://www.civilica.com/Paper-FUTURING01-FUTURING01_068.html