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Multifractal analysis of the time series of economic systems

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

ABSTRACT
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.
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