Multifractal analysis of managed and independent float exchange rates

作者：Stosic Darko; Stosic Dusan; Stosic Tatijana^*; Stanley H Eugene

来源：Physica A: Statistical Mechanics and Its Applications , 2015, 428: 13-18.

DOI：10.1016/j.physa.2015.02.055

• Currency rate
• Managed float
• Independent float
• Market efficiency
• Multifractal detrended fluctuation analysis

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.

• 出版日期2015-6-15