Academic Journals Database
Disseminating quality controlled scientific knowledge

Multifractal analysis of the time series of economic systems

Author(s): A.I. Olemskoi | V.N. Borisyuk | I.А. Shuda | А.А. Bagdasaryan

Journal: Journal of Nano- and Electronic Physics
ISSN 2077-6772

Volume: 1;
Issue: 3;
Start page: 52;
Date: 2009;
VIEW PDF   PDF DOWNLOAD PDF   Download PDF Original page

Keywords: Time Series | Method Of The Multifractal Detrended Fluctuation Analysis | Multifractal Spectrum

Within the method of the multifractal detrended fluctuation analysis the time series of the currency exchange rate for a period including the world financial crisis is investigated. By the example of the growing demand for currency purchase during the crisis, the connection between time correlations in the distribution of the series terms and external factors is found. Crisis influence on the statistical characteristics of the time series is studied.
Affiliate Program      Why do you need a reservation system?