DocumentCode
537186
Title
Multifractal Structure in China´s Foreign Exchange Market
Author
Cao Guangxi
Author_Institution
Finance Dept., Nanjing Univ. of Inf. Sci. & Technol., Nanjing, China
fYear
2010
fDate
7-9 Nov. 2010
Firstpage
1
Lastpage
4
Abstract
Multifractal analysis usually was accomplished in stock markets, seldom in exchange markets, especially in emerging markets. Empirical analysis of the Multifractal structure of the RMB/USD exchange market is performed using MFDFA method, based on the daily price from July 22, 2005 to April 24, 2009. We find that RMB/USD exchange market shows multifractal characteristic, and quadratic order polynomial is sufficient to remove the local trends when using MFDFA method in RMB/USD return series.
Keywords
foreign exchange trading; polynomials; China foreign exchange market; MFDFA method; RMB-USD exchange market; fitting n-order polynomial; multifractal analysis; multifractal structure; quadratic order polynomial; stock markets; Biological system modeling; Correlation; Exchange rates; Fluctuations; Fractals; Stock markets; Time series analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
E-Product E-Service and E-Entertainment (ICEEE), 2010 International Conference on
Conference_Location
Henan
Print_ISBN
978-1-4244-7159-1
Type
conf
DOI
10.1109/ICEEE.2010.5661123
Filename
5661123
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