سال انتشار: ۱۳۸۵

محل انتشار: اولین همایش آینده پژوهی

تعداد صفحات: ۱۴

نویسنده(ها):

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

چکیده:

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