Multifractal analysis of the time series of economic systems

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.

Keywords

• Time Series
• Method Of The Multifractal Detrended Fluctuation Analysis
• Multifractal Spectrum