Multifractal analysis of foreign exchang
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Schmitt, FranΓ§ois ;Schertzer, Daniel ;Lovejoy, Shaun
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Article
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1999
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John Wiley and Sons
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English
β 267 KB
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In this paper we perform multifractal analyses of "ve daily Foreign Exchange (FX) rates. These techniques are currently used in turbulence to characterize scaling and intermittency. We show the multifractal nature of FX returns, and estimate the three parameters in the universal multifactal framewor