Multifractal detrending moving average analysis on the US Dollar exchange rates

作者：Wang, Yudong^*; Wu, Chongfeng; Pan, Zhiyuan

来源：Physica A: Statistical Mechanics and Its Applications , 2011, 390(20): 3512-3523.

DOI：10.1016/j.physa.2011.05.023

• US Dollar exchange rate
• Multifractality
• Multifractal detrending moving average

In this paper, we investigate the multifractal behavior of the US dollar (USD) exchange rates. The results from the multifractal detrending moving average algorithm show that twelve exchange rate series were multifractal. The major source of multifractality are long-range correlations of small and large fluctuations. Fat-tail distributions have important effects on the multifractality of USD/AUR, USD/EUR and CNY/USD exchange rates. We also find evidence that extreme events play an important role in the contributions to multifractality for the USD/EUR exchange rate.

• 出版日期2011-10-1
• 单位上海交通大学