کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977576 1480145 2015 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multifractal analysis of managed and independent float exchange rates
ترجمه فارسی عنوان
تجزیه و تحلیل چند متغیری از نرخ ارز شناور مدیریت شده و مستقل
کلمات کلیدی
نرخ ارز، شناور شناور شناور مستقل، کارایی بازار، تجزیه و تحلیل نوسانات مولتی فاکتوریل
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی

We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning between the two regimes. We find that after the transition from managed to independent float regime the changes in multifractal spectrum (position of maximum and width) indicate an increase in market efficiency. The observed changes are more pronounced for developed countries that have a well established trading market. After shuffling the series, we find that the multifractality is due to both probability density function and long term correlations for managed float regime, while for independent float regime multifractality is in most cases caused by broad probability density function.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 428, 15 June 2015, Pages 13–18
نویسندگان
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